Economics, Econometrics and Finance
6 years ago

Indian Options Market Challenges Popular Pricing Model, Reveals Crucial Contradictions

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MUDRA Journal of Finance and Accounting
Testing the Performance of Black and Scholes Pricing Model in the Indian Options Market
Sonal Sharma

Paper Summary

The Black and Scholes pricing model was tested in the Indian options market using NIFTY Index data. The researchers measured volatility using the Random Walk and Historical Mean models. Contrary to previous studies, the results showed different biases in the model. This information is important for traders to value option contracts and diversify portfolios in the Indian markets.

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