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
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| Authors | ;Ambrish Gupta;Matloob Ullah Khan;Sadaf Siraj |
| Journal | chinese medical journal |
| Year | 2013 |
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