Pricing efficiency in CNX Nifty Index options using the Black-Scholes model : a comparative study of alternate volatility measures
Tanuj Nandan, Puja Agrawal
| Year of publication: |
May 2016
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|---|---|
| Authors: | Nandan, Tanuj ; Agrawal, Puja |
| Published in: |
Margin: the journal of applied economic research. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0025-2921, ZDB-ID 2442149-2. - Vol. 10.2016, 2, p. 281-304
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| Subject: | Pricing efficiency | Black-Scholes model | Volatility Modelling | EGARCH Model | Non-parametric Tests | Options Market | Volatilität | Volatility | Black-Scholes-Modell | Index-Futures | Index futures | Optionsgeschäft | Option trading | ARCH-Modell | ARCH model | Optionspreistheorie | Option pricing theory | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0973801015625390 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011690833