Economics, Econometrics and Finance
8 years ago

Black-Scholes Model Proven Effective in Pricing Indian Stock Options.

Journal of Applied Finance and Banking
Validating Black-Scholes Model in Pricing Indian Stock Call Options
R. Nagendran, Sankaran Venkateswar

Paper Summary

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Derivatives trading in India has grown significantly, but many investors are not actively trading options due to a lack of understanding. This study used over 95,000 call options to test the Black-Scholes model in pricing Indian stock options. The results show that the Black-Scholes model is effective in pricing stock options in India, and incorporating implied volatility further improves pricing accuracy.