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

Authors

  • Matloob Ullah Khan Jamia Hamdard University
  • Ambrish Gupta FORE School of Management
  • Sadaf Siraj Jamia Hamdard

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

JEL Classifications: C30; G13; G17

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Author Biography

Matloob Ullah Khan, Jamia Hamdard University

Research Scholar, Department of Management, Jamia Hamdard University, India

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Published

2012-12-01

How to Cite

Khan, M. U., Gupta, A., & Siraj, S. (2012). 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. Retrieved from http://econjournals.com/index.php/ijefi/article/view/348

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