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.
Black-Scholes Option Pricing Model Empirical testing Suggested modification
Diğer ID | JA64KH62UV |
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Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 1 Mart 2013 |
Yayımlandığı Sayı | Yıl 2013 Cilt: 3 Sayı: 1 |