empirical testing of modified black-scholes option pricing model formula on nse derivative market in india

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ID: 224849
2013
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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.
Reference Key
gupta2013internationalempirical Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Ambrish Gupta, Matloob Ullah Khan, Sadaf Siraj
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Journal chinese medical journal
Year 2013
DOI
DOI not found
URL
http://www.econjournals.com/index.php/ijefi/article/view/348/pdf
Keywords
suggested modificationbusinesseconomics as a science

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