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Title: :  Study of Relevance of Black-Scholes Model in Indian Stock Option Market
PaperId: :  1298
Published in:   International Journal Of Advance Research And Innovative Ideas In Education
Publisher:   IJARIIE
e-ISSN:   2395-4396
Volume/Issue:    Volume 1 Issue 4 2015
DUI:    16.0415/IJARIIE-1298
Licence: :   IJARIIE is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Author NameAuthor Institute
Manish SharmaJECRC University
Dr. Kapil AroraJ.K. Lakshmipat University

Abstract

Finance
Stock Option, fair value, Volatility, Black Scholes Model
Derivatives trading is a core part of the Indian Stock Market in the current era. Trading volumes in stock options have grown up tremendously during recent years. This has also led to high volatility in the option prices. Trading in the right option on the right price is becoming more and more important for the traders for effective and profitable trades. In this scenario, the Black Scholes Pricing Model is used for fair value pricing of option contracts. In this paper, we have tried to find out the relevance of Black Scholes Model values with the market values for stock options. For this, we have selected ten stock’s option contracts. We have found that in most of the cases, the Black Scholes Model values are not relevant to the market values; therefore the model is partially relevant. The findings show the need to explore the impact of other factors on pricing on option than Black Scholes Models.

Citations

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IJARIIE Manish Sharma, and Dr. Kapil Arora. "Study of Relevance of Black-Scholes Model in Indian Stock Option Market" International Journal Of Advance Research And Innovative Ideas In Education Volume 1 Issue 4 2015 Page 324-334
MLA Manish Sharma, and Dr. Kapil Arora. "Study of Relevance of Black-Scholes Model in Indian Stock Option Market." International Journal Of Advance Research And Innovative Ideas In Education 1.4(2015) : 324-334.
APA Manish Sharma, & Dr. Kapil Arora. (2015). Study of Relevance of Black-Scholes Model in Indian Stock Option Market. International Journal Of Advance Research And Innovative Ideas In Education, 1(4), 324-334.
Chicago Manish Sharma, and Dr. Kapil Arora. "Study of Relevance of Black-Scholes Model in Indian Stock Option Market." International Journal Of Advance Research And Innovative Ideas In Education 1, no. 4 (2015) : 324-334.
Oxford Manish Sharma, and Dr. Kapil Arora. 'Study of Relevance of Black-Scholes Model in Indian Stock Option Market', International Journal Of Advance Research And Innovative Ideas In Education, vol. 1, no. 4, 2015, p. 324-334. Available from IJARIIE, https://ijariie.com/AdminUploadPdf/Study_of_Relevance_of_Black_Scholes_Model_in_Indian_Stock_Option_Market_ijariie1298_volume_1_14_page_324_324.pdf (Accessed : 26 April 2020).
Harvard Manish Sharma, and Dr. Kapil Arora. (2015) 'Study of Relevance of Black-Scholes Model in Indian Stock Option Market', International Journal Of Advance Research And Innovative Ideas In Education, 1(4), pp. 324-334IJARIIE [Online]. Available at: https://ijariie.com/AdminUploadPdf/Study_of_Relevance_of_Black_Scholes_Model_in_Indian_Stock_Option_Market_ijariie1298_volume_1_14_page_324_324.pdf (Accessed : 26 April 2020)
IEEE Manish Sharma, and Dr. Kapil Arora, "Study of Relevance of Black-Scholes Model in Indian Stock Option Market," International Journal Of Advance Research And Innovative Ideas In Education, vol. 1, no. 4, pp. 324-334, Sep-Oct 2015. [Online]. Available: https://ijariie.com/AdminUploadPdf/Study_of_Relevance_of_Black_Scholes_Model_in_Indian_Stock_Option_Market_ijariie1298_volume_1_14_page_324_324.pdf [Accessed : 26 April 2020].
Turabian Manish Sharma, and Dr. Kapil Arora. "Study of Relevance of Black-Scholes Model in Indian Stock Option Market." International Journal Of Advance Research And Innovative Ideas In Education [Online]. volume 1 number 4 (26 April 2020).
Vancouver Manish Sharma, and Dr. Kapil Arora. Study of Relevance of Black-Scholes Model in Indian Stock Option Market. International Journal Of Advance Research And Innovative Ideas In Education [Internet]. 2015 [Cited : 26 April 2020]; 1(4) : 324-334. Available from: https://ijariie.com/AdminUploadPdf/Study_of_Relevance_of_Black_Scholes_Model_in_Indian_Stock_Option_Market_ijariie1298_volume_1_14_page_324_324.pdf
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