A new options-pricing formula applies to far-out-of-the money put options on the overall stock market when disaster risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative agent with Epstein-Zin utility. In the applicable region,...

Options are the most used financial derivative products. Option pricing is very important in the options market. Black-Scholes (BS) model is one of the most preferred and used models nowadays. In this paper, an attempt is made to study the relevance of BS model and Black's model in Indian...