This research delves into the empirical performance of deterministic option pricing models in
the dynamic financial landscape of India. The primary focus is on uncovering pricing …

This paper examines the behaviour of the smile in the Spanish Stock Exchange during 2011
and 2012 summers. In these periods, the value of the main index of the Spanish Stock …

Implied volatility is regarded as one of the most important variables for determining
profitability in options trading. Implied volatility gives indication about the future volatility of …

In 1973 Fischer Black and Myron Scholes gave the well-known option pricing model,'Black-
Scholes model'in their paper “The pricing of Options and Corporate Liabilities”. After this …

This article attempts to determine the method of volatility estimation that prices the CNX Nifty
Index options closest to the theoretical price as computed by the Black–Scholes (1973) …

Device, system and method of trading an option. A method may include executing, by a
computing device, at least one transaction of an option on an underlying asset using at least …

Indian capital market has undergone tremendous changes since 1991, when the
government has adopted liberalization and globalization polices. As a result, there is a …

PRICING OF OPTIONS IN INDIAN DERIVATIVES MARKET - AN EMPIRICAL STUDY Page 1
PRICING OF OPTIONS IN INDIAN DERIVATIVES MARKET - AN EMPIRICAL STUDY THESIS …

This research study has been motivated by the pricing errors produced by the Black-Scholes
model used for pricing stocks and S&P CNX Nifty index options. The Black-Scholes option …

Volatility is the fluctuation that is present in the time-series of stock prices. Volatility is an
abstract concept. Historical volatility is the realized volatility. Historical volatility is the actual …