Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India

Matloob Ullah Khan; Ambrish Gupta; Sadaf Siraj

Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India

Year 2013, Volume: 3 Issue: 1, 87 - 98, 01.03.2013

Matloob Ullah Khan Ambrish Gupta Sadaf Siraj

Abstract

The main objectives of this paper are to incorporate modification in Black-Scholes option pricing model formula by adding some new variables on the basis of given assumption related to risk-free interest rate, and also shows the calculation process of new risk-free interest rate on the basis of modified variable. This paper also identifies the various situations in empirical testing of modified and original Black-Scholes formula with respect to the market value on the basis of assumed and calculated risk-free interest rate.

Keywords

Black-Scholes Option Pricing Model , Empirical testing , Suggested modification

Year 2013, Volume: 3 Issue: 1, 87 - 98, 01.03.2013

Matloob Ullah Khan Ambrish Gupta Sadaf Siraj

Abstract

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Details

Other ID	JA64KH62UV
Authors	Matloob Ullah Khan This is me Ambrish Gupta This is me Sadaf Siraj This is me
Publication Date	March 1, 2013
Published in Issue	Year 2013 Volume: 3 Issue: 1

Cite

APA	Khan, M. U., Gupta, A., & Siraj, S. (2013). Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. International Journal of Economics and Financial Issues, 3(1), 87-98.
AMA	Khan MU, Gupta A, Siraj S. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI. March 2013;3(1):87-98.
Chicago	Khan, Matloob Ullah, Ambrish Gupta, and Sadaf Siraj. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues 3, no. 1 (March 2013): 87-98.
EndNote	Khan MU, Gupta A, Siraj S (March 1, 2013) Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. International Journal of Economics and Financial Issues 3 1 87–98.
IEEE	M. U. Khan, A. Gupta, and S. Siraj, “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”, IJEFI, vol. 3, no. 1, pp. 87–98, 2013.
ISNAD	Khan, Matloob Ullah et al. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues 3/1 (March2013), 87-98.
JAMA	Khan MU, Gupta A, Siraj S. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI. 2013;3:87–98.
MLA	Khan, Matloob Ullah et al. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues, vol. 3, no. 1, 2013, pp. 87-98.
Vancouver	Khan MU, Gupta A, Siraj S. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI. 2013;3(1):87-98.