(3.232.96.22)
Users online: 2696    [ij] [ij] [ij] 
Email id
 

Asian Journal of Management
Year : 2019, Volume : 10, Issue : 4
First page : ( 319) Last page : ( 320)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.5958/2321-5763.2019.00047.7

Applicability of Black Scholes model on Nifty 50 call options

Garg Amit*

Indian Statistical Institute, New Delhi-110016

*Corresponding Author E-mail: agarg7192@gmail.com

Online published on 3 February, 2020.

Abstract

Options trading volume is increasing by the day and Black Scholes model is most widely used for options pricing. As a step towards checking efficiency of Black Scholes model in Indian market, this paper attempted to apply this model to calculate theoretical price of Nifty 50 call options and found that there is statistically significant difference between theoretical prices calculated and market prices of Nifty 50 call options.

Top

Keywords

Black Scholes, Nifty 50, call options, volatility, MIBOR.

Top

  
║ Site map ║ Privacy Policy ║ Copyright ║ Terms & Conditions ║ Page Rank Tool
471,773,245 visitor(s) since 30th May, 2005.
All rights reserved. Site designed and maintained by DIVA ENTERPRISES PVT. LTD..
Note: Please use Internet Explorer (6.0 or above). Some functionalities may not work in other browsers.