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Article Name - Analysis of Testing the Pricing Efficiency of Options Using Greeks and BSM in Nifty Index

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  • Keywords Call • Put Option • Option Greeks • BSOPM • Option moneyness ... 2023-02-21
  • Introduction Since ancient times, "contracts" similar to "options" have been in practice. Thales of miletus, an ancient Greek mathematician and philosopher was the first apparent "op ... 2023-02-21
  • Literature Review Cornell and French used daily data to investigate the "cost of carry" model in stock index futures pricing and arbitrage opportunities, and discovered that there is mispricing. A lot of rese ... 2023-02-21
  • Results and Discussion With relevance to this study, the scholar has calculated the Nifty Call (CE) and Put (PE) options prices and Greeks daily from 1-Nov -2018 to 25-Nov-2018. For analysis purposes, the research scholar h ... 2023-03-27
  • Conclusion The research, analysis of five Greeks values–delta, gamma, theta, vega, and rho from above Tables 2 and 5, for strike prices 10900, 11100, 11300, and 10100 respectively; from option Buyer's ... 2023-02-21
  • Acknowledgment The authors wish to thank the ICSSR (Indian Council of Social Science Research) for providing the doctoral fellowship. And this may help in effectively writing this research paper. ... 2023-02-21
  • References Ackert LF and Tian YS. "The Introduction of Toronto Index Participation Units and Arbitrage Opportunities in the Toronto 35 Index Options Markets." J Deriv 5 (1998): 44-53. [Google Schola ... 2023-02-21