%0 Journal Article
%T EMPIRICAL TESTING OF MODIFIED BLACK-SCHOLES OPTION PRICING MODEL FORMULA ON NSE DERIVATIVE MARKET IN INDIA
%A Matloob Ullah Khan
%A Ambrish Gupta
%A Sadaf Siraj
%J International Journal of Economics and Financial Issues
%D 2013
%I EconJournals
%X The main objectives of this paper are to incorporate modification in Black-Scholes option pricing model formula by adding some new variables on the basis of given assumption related to risk-free interest rate, and also shows the calculation process of new risk-free interest rate on the basis of modified variable. This paper also identifies the various situations in empirical testing of modified and original Black-Scholes formula with respect to the market value on the basis of assumed and calculated risk-free interest rate.
%K Black-Scholes Option Pricing Model
%K Empirical testing
%K Suggested modification
%U http://www.econjournals.com/index.php/ijefi/article/view/348/pdf