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

Yıl 2013, Cilt: 3 Sayı: 1, 87 - 98, 01.03.2013

Matloob Ullah Khan Ambrish Gupta Sadaf Siraj

https://izlik.org/JA24SH75WC

Öz

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.

Anahtar Kelimeler

Black-Scholes Option Pricing Model Empirical testing Suggested modification

Yıl 2013, Cilt: 3 Sayı: 1, 87 - 98, 01.03.2013

Matloob Ullah Khan Ambrish Gupta Sadaf Siraj

https://izlik.org/JA24SH75WC

Öz

Toplam 0 adet kaynakça vardır.

Ayrıntılar

Diğer ID JA64KH62UV
Yazarlar

Matloob Ullah Khan Bu kişi benim

Ambrish Gupta Bu kişi benim

Sadaf Siraj Bu kişi benim

Yayımlanma Tarihi 1 Mart 2013
IZ https://izlik.org/JA24SH75WC
Yayımlandığı Sayı Yıl 2013 Cilt: 3 Sayı: 1

Kaynak Göster

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. https://izlik.org/JA24SH75WC
AMA 1.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. https://izlik.org/JA24SH75WC
Chicago Khan, Matloob Ullah, Ambrish Gupta, ve Sadaf Siraj. 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. https://izlik.org/JA24SH75WC.
EndNote Khan MU, Gupta A, Siraj S (01 Mart 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 [1]M. U. Khan, A. Gupta, ve S. Siraj, “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”, IJEFI, c. 3, sy 1, ss. 87–98, Mar. 2013, [çevrimiçi]. Erişim adresi: https://izlik.org/JA24SH75WC
ISNAD Khan, Matloob Ullah - Gupta, Ambrish - Siraj, Sadaf. “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 (01 Mart 2013): 87-98. https://izlik.org/JA24SH75WC.
JAMA 1.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, vd. “Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India”. International Journal of Economics and Financial Issues, c. 3, sy 1, Mart 2013, ss. 87-98, https://izlik.org/JA24SH75WC.
Vancouver 1.Matloob Ullah Khan, Ambrish Gupta, Sadaf Siraj. Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India. IJEFI [Internet]. 01 Mart 2013;3(1):87-98. Erişim adresi: https://izlik.org/JA24SH75WC