Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market In India
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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; G17Downloads
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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 https://econjournals.com/index.php/ijefi/article/view/348
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