Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options
Year of publication: |
2007-11
|
---|---|
Authors: | Saurabha, Rritu ; Tiwari, Manvendra |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | black scholes | skewness | kurtosis | nse | nifty | india |
-
Parity analysis of non-log normality of Black-Scholes and its inter-competence
Singh, Vipul Kumar, (2014)
-
Forecasting with Option Implied Information
Christoffersen, Peter, (2011)
-
Revisited multi-moment approximate option pricing models: a general comparison (Part 1)
Jurczenko, Emmanuel, (2002)
- More ...
-
Saurabha, Rritu, (2008)
-
Modelling of the Elective Allocation Process as a Simultaneous Ascending Auction
Saurabha, Rritu, (2015)
-
Performance measure congruity in linear agency models with interactive tasks
Budde, Jörg, (2006)
- More ...