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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 | |
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