Testing Efficiency of the Variables in Black Scholes Option Pricing Model: Evidence from Indian Derivatives Market

Authors

  • Shivani Inder

DOI:

https://doi.org/10.33516/rb.v42i1.223-230p

Keywords:

Black Scholes, Probability, Option, Logistic Regression, Exercise of Option.

Abstract

The Black Scholes Option Pricing Model is the building block for the theory of pricing of options. The paper evaluates the probability of exercising a call option in the market under the given set of information by employing Black Scholes Model. Thereby, the validity of the model is being tested in the Indian Options market by employing logistic regression. The analysis concluded that Black Scholes Model holds an accuracy level of approximately 79 percent in guessing whether the option would be exercised or not at the time of expiry and whether the option is worth investing or not.

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Published

2016-04-01

How to Cite

Inder, S. (2016). Testing Efficiency of the Variables in Black Scholes Option Pricing Model: Evidence from Indian Derivatives Market. Research Bulletin, 42(1), 223–230. https://doi.org/10.33516/rb.v42i1.223-230p

Issue

Volume 42, Issue 1, April 2016

Section

Articles
Crossref
Scopus
Google Scholar
Europe PMC

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