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

Matloob Ullah Khan, Ambrish Gupta and Sadaf Siraj
Additional contact information
Matloob Ullah Khan: Research Scholar, Department of Management,Jamia Hamdard, New Delhi, India.
Ambrish Gupta: FORE School of Management, New Delhi, India
Sadaf Siraj: Department of Management, Jamia Hamdard, New Delhi, India.

International Journal of Economics and Financial Issues, 2013, vol. 3, issue 1, 87-98

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 (search for similar items in EconPapers)
JEL-codes: C30 G13 G17 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.econjournals.com/index.php/ijefi/article/download/348/pdf (application/pdf)
http://www.econjournals.com/index.php/ijefi/article/view/348/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2013-07-9

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().