Volume No. :   10

Issue No. :  4

Year :  2019

ISSN Print :  0976-495X

ISSN Online :  2321-5763


Registration

Allready Registrered
Click to Login

Applicability of Black Scholes model on Nifty 50 call options



Address:   Amit Garg*
Indian Statistical Institute, New Delhi – 110016
*Corresponding Author
DOI No: 10.5958/2321-5763.2019.00047.7

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.
KEYWORDS:
Black Scholes, Nifty 50, call options, volatility, MIBOR.
Cite:
Amit Garg. Applicability of Black Scholes model on Nifty 50 call options. Asian Journal of Management. 2019; 10(4):319-320.
[View HTML]     



Visitor's No. :   295040