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Spot pric piry of the op s) there is si s m,aximum ue of N(d1) Rs. 1.9780 95 d and actual L 6.35 0.00 22/2011 29/2011 .71% 30% 76% 02 3073922 6207 2746 6082 .4184 .9 4816 .71217 btained from N n expected a d by using U ce of stock, ption, Annu gnificant di m in case of H and N(d2), (27.6780-25 Asian price of a c SBI 1,937.55 2,300.00 9/22/2011 9/29/2011 31.45% 8.30% 1.08% 0.02 -3.883767 0.0001 -3.9273 0.0000 0.0010 0.75 0.7490 99.86667 NSE Derivati and actual pr Using the Bl Exercise pr ual volatility ifference be Hindalco ca while the co 5.7) 7.15% n Journal of F call option e HINDALC 139.40 180.00 9/22/2011 9/29/2011 35.50% 8.30% 0.72% 0.02 -5.145161 0.0000 -5.1943 0.0000 0.0000 0.1 0.1000 100 ve segment. rice of a cal lack – Scho rice of the o y of the stoc etween expe all option pr omperative only . Finance & Ac ISSN 19 2012, Vol. www.macrothi expiring in 7 CO INFY 2,352 2,400 9/22/ 9/29/ 23.34 8.30% 1.85% 0.02 -0.35 0.360 -0.40 0.342 27.67 25.7 1.97 7.146 ll option exp oles – Merto option, Ann ck. Table sh ected and ac rice where e difference i ccounting 946-052X 4, No. 2 ink.org/ajfa 7 days Y 2.60 0.00 /2011 /2011 4% % % 56009 09 052 27 780 80 647012 piring in on model nual risk ows that ctual call expected is less in Table 2 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time(Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ Source: Table 2 of all se incresed differen highest with .24 SBI cal 2. Price diffe ng Price Price ration Date Date al Volatility e Rate d yield ears) d Price rice ce in value ence : computed 2 indicates th elected und d because o nce between in case of R 447 as a perc l option pri ference betw JP A 68.3 70.0 9/14 9/29 43.5 8.30 0.86 0.04 -0.1 0.42 -0.2 0.38 1.78 2.05 0.26 13.1 on the basis hat increase erlaying sto f time value n expected RIL call opt centage diff ce with 99.7 ween an exp Associate 35 00 4/2011 9/2011 56% 0% 6% 4 9134995 241 797 899 807 5 693 3659 s of realtim e in the time ock. Due to e of option a price and tion price w ference in In 77%. 96 pected and a RIL 825.40 780.00 9/14/2011 9/29/2011 23.71% 8.30% 0.76% 0.04 1.2655302 0.8972 1.2175 0.8883 49.7800 56.15 6.3700 11.34461 me data obta e to expiry b increase in and relative actual pric with Rs. 6.37 nfosys Call Asian actual price SBI 1,826.75 2,300.00 9/14/201 9/29/201 31.45% 8.30% 1.08% 0.04 -3.53491 0.0002 -3.5987 0.0002 0.0058 2.55 2.5442 99.77255 ained from N brings positi n time to exp difference h ce. The diff 7 While low option is low n Journal of F of a call op HIN 5 145 0 180 11 9/14 11 9/29 35.5 8.30 0.72 0.04 11 -2.9 0.00 -2.9 0.00 0.00 0.25 0.24 5 97.8 NSE Deriva ive impact o piry call op has been mi ference in t west in HIND west with 6 Finance & Ac ISSN 19 2012, Vol. www.macrothi ption expirin NDALCO I .10 2 .00 2 4/2011 9 9/2011 9 50% 2 0% 8 2% 4 0 915668 - 018 0 9876 - 014 0 053 4 5 5 447 3 88 6 ative segmen on call optio ption price h inimized in the value h DALCO cal .44% and hi ccounting 946-052X 4, No. 2 ink.org/ajfa ng in 15 INFY 2,351.65 2,400.00 9/14/2011 9/29/2011 23.34% 8.30% 1.85% 0.04 -0.209978 0.4168 -0.2819 0.3890 49.1178 52.5 3.3822 6.44228 nt. on prices has been terms of has been ll option ighest in Table 3 30 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time (Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ Source: Table 4 43 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time(Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ . The price s ng Price Price ration Date Date al Volatility e Rate d yield ears) d Price rice ce in value ence : computed 4. The price s ng Price Price ration Date Date al Volatility e Rate d yield ears) d Price rice ce in value ence difference b JP Asso 58.30 70.00 8/29/20 9/29/20 43.56% 8.30% 0.86% 0.08 -1.3274 0.0922 -1.4544 0.0729 0.3018 0.45 0.1482 32.9333 on the basis difference b JP Asso 57.15 70.00 8/16/20 9/29/20 43.56% 8.30% 0.86% 0.12 -1.2060 0.1139 -1.3573 0.0873 0.4493 0.7 0.2507 35.8142 between an ociate RI 75 78 11 8/ 11 9/ % 23 8. 0. 0. 45587 -0 0. 4 -0 0. 12 16 3. 33 21 s of realtim between an ociate RI 75 78 11 8/ 11 9/ % 23 8. 0. 0. 0949 -0 0. -0 0. 18 22 3. 29 16 97 expected a IL 55.05 80.00 /29/2011 /29/2011 3.71% 30% 76% 08 0.343263 3657 0.4124 3400 2.5778 6 4222 1.38875 me data obta expected a IL 59.15 80.00 /16/2011 /29/2011 3.71% 30% 76% 12 0.177559 4295 0.2599 3975 8.8363 2.6 7637 6.65354 Asian nd actual pr SBI 1,938.60 2,300.00 8/29/2011 9/29/2011 31.45% 8.30% 1.08% 0.08 -1.752344 0.0399 -1.8440 0.0326 2.7623 6.5 3.7377 57.50308 ained from N nd actual pr SBI 2,196.95 2,300.00 8/16/2011 9/29/2011 31.45% 8.30% 1.08% 0.12 -0.285489 0.3876 -0.3947 0.3465 61.4032 55.05 6.3532 11.54078 n Journal of F rice of a cal HINDALC 144.10 180.00 8/29/2011 9/29/2011 35.50% 8.30% 0.72% 0.08 -2.036193 0.0209 -2.1397 0.0162 0.1109 0.5 0.3891 77.82 NSE Deriva rice of a cal HINDALC 144.35 180.00 8/16/2011 9/29/2011 35.50% 8.30% 0.72% 0.12 -1.654948 0.0490 -1.7782 0.0377 0.3465 0.7 0.3535 50.5 Finance & Ac ISSN 19 2012, Vol. www.macrothi ll option exp CO INF 2,29 2,40 8/29 9/29 23.3 8.30 1.85 0.08 -0.3 0.37 -0.4 0.33 57.8 47.1 10.7 22.7 ative segmen ll option exp CO INF 2,39 2,40 8/16 9/29 23.3 8.30 1.85 0.12 0.12 0.54 -0.0 0.49 126. 81.2 45.0 55.4 ccounting 946-052X 4, No. 2 ink.org/ajfa piring in Y 96.25 00.00 9/2011 9/2011 34% 0% 5% 8 22466 735 259 351 8701 15 7201 73616119 nt. piring in Y 99.30 00.00 6/2011 9/2011 34% 0% 5% 2 223442 487 009 996 .3427 25 0927 49870769 Source: Observ In the c achieve Associa differen followe expiry o Rs.0.14 option w associat Table 5 days. DATA Underlyi Exercise Consider Expiry D Historica Risk Fre Dividend Time(Ye d1 Nd1 d2 Nd2 Expected Actual P Differenc % Differ Source: : computed vations case of call ed in Hinda ates with Rs nce in price ed by JaiPra of 30 days, 482 and fol with time to tes which is . The price ing Price Price ration Date Date al Volatility e Rate d yield ears) d Price Price ce in value rence : computed on the basis l option wi alco Indust s.0.3129. In e was achi akash Asso the least di lowed by H o expiry of 4 s Rs.0.2507 difference b JP Assoc 67.00 70.00 9/22/201 9/29/201 43.56% 8.30% 0.86% 0.02 -0.67230 0.2507 -0.7326 0.2319 3.4868 3.9 0.4132 10.5948 on the basis s of realtim ith time to tries limited n the case of ieved in Hi ociates with fference in Hindalco In 43 days, the and follow between an ciate RIL 786 780 11 9/2 11 9/2 23.7 8.30 0.7 0.02 07 0.30 0.62 0.27 0.60 6.94 14.4 7.50 7 51.9 s of realtim 98 me data obta expiry of 7 d which is f call option indalco Ind h Rs.0.2693 price was a ndustries lim e least diffe wed by Hind expected an L S 6.35 1 0.00 2 2/2011 9 9/2011 9 71% 3 0% 8 6% 1 2 0 073922 - 207 0 746 - 082 0 424 1 45 1 076 4 95571 2 me data obta Asian ained from N 7 days, the Rs.0.1000 n with time dustries lim . In the cas achieved in mited with erence in pri dalco Industr nd actual pri SBI 1,937.55 2,100.00 9/22/2011 9/29/2011 31.45% 8.30% 1.08% 0.02 -1.795032 0.0363 -1.8386 0.0330 160.7120 165 4.2880 2.598788 ained from N n Journal of F NSE Deriva least diffe and follow to expiry o mited which se of call o JaiPrakash Rs.0.3891. ice was ach ries limited ice of a put o HINDALCO 139.40 150.00 9/22/2011 9/29/2011 35.50% 8.30% 0.72% 0.02 -1.436585 0.0754 -1.4857 0.0687 10.6079 11.5 0.8921 7.757391 NSE Deriva Finance & Ac ISSN 19 2012, Vol. www.macrothi ative segmen erence in pr wed by Jai of 15 days, t h is Rs.0.24 option with associates w .In the case hieved in Jai d with Rs.0.3 option expi O INFY 2,352.6 2,400.0 9/22/20 9/29/20 23.34% 8.30% 1.85% 0.02 -0.3560 0.3609 -0.4052 0.3427 72.095 78.5 6.4047 8.1588 ative segmen ccounting 946-052X 4, No. 2 ink.org/ajfa nt. rice was iPrakash the least 447 and time to which is e of call iPrakash 3535 ring in 7 60 00 011 011 % 009 9 2 7 53 7 853503 nt. Table 6 15 days DATA Underlying Exercise P Considerat Expiry Da Historical Risk Free Dividend y Time (Yea d1 Nd1 d2 Nd2 Expected P Actual Pric Difference % Differen Source: Table 7 30 days DATA Underlying Exercise P Considerat Expiry Dat Historical Risk Free R Dividend y Time (Yea d1 Nd1 d2 Nd2 Expected P Actual Pric Difference % Differen 6. The price s g Price Price tion Date ate Volatility Rate yield ars) Price ce e in value nce : computed 7. The price s g Price Price tion Date te Volatility Rate yield ars) Price ce e in value nce difference b JP Assoc 68.35 70.00 9/14/201 9/29/201 43.56% 8.30% 0.86% 0.04 -0.191349 0.4241 -0.2797 0.3899 3.2165 3.85 0.6335 16.45455 on the basis difference b JP Assoc 58.30 70.00 8/29/201 9/29/201 43.56% 8.30% 0.86% 0.08 -1.32745 0.0922 -1.4544 0.0729 11.5526 14.35 2.7974 19.49408 between an iate RIL 825 780 1 9/14 1 9/29 23.7 8.30 0.76 0.04 995 1.26 0.89 1.21 0.88 1.98 9.75 7.76 5 79.6 s of realtim between an iate RIL 755 780 1 8/29 1 9/29 23.7 8.30 0.76 0.08 587 -0.3 0.36 -0.4 0.34 32.5 38.7 6.2 8 16.0 99 n expected a L S 5.40 1 0.00 2 4/2011 9 9/2011 9 71% 3 0% 8 6% 1 4 0 655302 - 972 0 175 - 883 0 818 2 5 2 682 0 67385 0 me data obta n expected a L S 5.05 1 0.00 2 9/2011 8 9/2011 9 71% 3 0% 8 6% 1 8 0 343263 - 657 0 4124 - 400 0 5359 1 75 1 141 8 03639 4 Asian and actual p SBI 1,826.75 2,100.00 9/14/2011 9/29/2011 31.45% 8.30% 1.08% 0.04 -2.108033 0.0175 -2.1718 0.0149 267.6310 267 0.6310 0.23633 ained from N and actual p SBI 1,938.60 2,100.00 8/29/2011 9/29/2011 31.45% 8.30% 1.08% 0.08 0.759796 0.2237 0.8515 0.1973 170.3353 178.4 8.0647 4.520572 n Journal of F rice of a pu HINDALCO 145.10 150.00 9/14/2011 9/29/2011 35.50% 8.30% 0.72% 0.04 -0.382229 0.3511 -0.4542 0.3248 6.8076 7.85 1.0424 13.27898 NSE Deriva rice of a pu HINDALCO 144.10 150.00 8/29/2011 9/29/2011 35.50% 8.30% 0.72% 0.08 -0.273911 0.3921 -0.3774 0.3529 8.8275 11.15 2.3225 20.8296 Finance & Ac ISSN 19 2012, Vol. www.macrothi ut option exp O INFY VALU 2,351 2,400 9/14/2 9/29/2 23.34 8.30% 1.85% 0.04 -0.209 0.416 -0.28 0.389 91.08 103.3 113.4 ative segmen ut option exp O INFY 2,296 2,400 8/29/2 9/29/2 23.34 8.30% 1.85% 0.08 -0.322 0.373 -0.425 0.335 148.3 140 8.366 5.975 ccounting 946-052X 4, No. 2 ink.org/ajfa piring in Y UE .65 0.00 2011 2011 4% % % 9978 68 19 90 26 5 4684341 nt. piring in Y 6.25 0.00 2011 2011 4% % % 2466 5 59 1 663 63 928571 Source: Table 8 43 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time (Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ Source: Observ In the ca in JaiPr Rs.0.89 was ach with Rs price w JaiPrak the leas followe cases Ja providin It is als and hin than the : computed 8. The price s. ng Price Price ration Date Date al Volatility e Rate d yield ears) d Price rice ce in value ence : computed vations ase of put op rakash assoc 921. In the c hieved in St s.0.6335 In was achieve kash Associa st differenc ed by Hinda aiPrakash A ng least diff so observed ndalco Indus e historical on the basis difference b JP Asso 57.15 70.00 8/16/20 9/29/20 43.56% 8.30% 0.86% 0.12 -1.2060 0.1152 -1.3505 0.0884 12.5859 11.15 0.2439 2.18744 on the basis ption with t ciates which case of put o ate Bank of the case of ed in Hind ates with Rs e in price w alco Industr Associates an fference from d that JaiPra stries limited annual vola s of realtim between an ociate R 75 78 011 8/ 011 9/ % 23 8. 0. 0. 0949 -0 0. 5 -0 0. 9 32 38 5. 44 14 s of realtim ime to expir h is Rs.0.41 option with t f India whic put option w alco Indust s.2.7974. In was achieve ries limited nd Hindalco m the actual akash associ d has got a h atility of oth 100 me data obta n expected a RIL 59.15 80.00 /16/2011 /29/2011 3.71% .30% .76% .12 0.177559 .4295 0.2599 .3975 2.6161 8 .3839 4.16816 me data obta ry of 7 days 132 and foll time to exp ch is Rs.0.63 with time to tries limite n the case of ed in JaiPra with Rs.2.8 o Industries l price. iates has go historical an her three com Asian ained from N and actual p SBI 2,196.95 2,100.00 8/16/2011 9/29/2011 31.45% 8.30% 1.08% 0.12 0.5476283 0.7080 0.4384 0.6695 46.5982 55 8.4018 15.276 ained from N s, the least d lowed by Hi iry of 15 da 310 and foll o expiry of d which is f put option akash assoc 8651. So it limited has ot a historic nnual volati mpanies. n Journal of F NSE Deriva rice of a pu HINDAL 144.35 150.00 8/16/201 9/29/201 35.50% 8.30% 0.72% 0.12 -0.17573 0.4302 -0.2990 0.3825 9.5349 12.4 2.8651 23.10565 NSE Deriva ifference in indalco Indu ays, the least lowed by Ja 30 days, the s Rs.2.3225 with time to ciates which can be seen occupied th cal annual v ility of 35.5 Finance & Ac ISSN 19 2012, Vol. www.macrothi ative segmen ut option exp LCO IN 2,3 2,4 1 8/1 1 9/2 23 8.3 1.8 0.1 8 0.1 0.5 -0. 0.4 10 79 29 5 37 ative segmen n price was a dustries limi t difference aiPrakash as e least diffe 5 and follo o expiry of h is Rs.0.2 n that most he first two volatility of % which ar ccounting 946-052X 4, No. 2 ink.org/ajfa nt. piring in NFY 399.30 400.00 16/2011 29/2011 .34% 30% 85% 12 1223442 5487 0009 4996 8.4941 .4941 .3343038 nt. achieved ited with e in price ssociates erence in owed by 43 days, 438 and tly in all ranks in f 43.56% re higher It can al all com prices m volatilit and actu Market State B limited Rs.24,7 It can b JaiPrak compan predicti Table 9 Days to e 7 days 15 days 30 days 43 days Observ From th values. decreas Black-S days to options average percent Black-S analysis lso be seen mpanies in ca mostly when ty, the Black ual value of capitalizati Bank of Ind is Rs.2,68 725.59 crore be seen tha kash associa nies. So Bl ion for the c 9. Table sho expiry Ca ave 1.5 2.5 3.6 11. vations he above an In the Table sing as the Scholes-Me expiry incre are mostly e percentag age differen Scholes-Me s of differen that Infosys ase of histo n compared k-Scholes-M f call and pu ion of Infos dia is Rs. 1 8,533.75 cro es and Mark at the avera ates is nea lack-Schole companies w wing the av all option erage differen 5243 56208 68346 .16276 nalysis it is f e 9, it can b number of rton model eases. It can y lower than e differenc nces compa rton model nce in follow s Limited w rical annual to other com Merton mod ut options o sys Limited ,11,013.7 c ores, Marke ket capitaliz age market arly 8.7 tim es-Merton m with lower m verage differ nce in price found that t e found that days to ex in computa n also be fou n the avera e is not sim ared to put for a call op wing section 101 which has hi l volatility a mpanies. Th del can prov of that stock d is Rs. 1,4 crores, Mar et capitaliz zation of Jai t capitalizat mes lower model seem market capi rence in opt % Avg dif 53.21 45.72 42.48 34.00 the expected t the percen xpiry increa ation of call und that the age differen milar in all option pric ption is high n makes ou Asian istorical vol and it has s he companie vide least di k. 46,532.7 cro rket capital zation of H iPrakash ass tion of Hin than the m ms to prov italization. tion prices o Put opt ff. average 3.90112 4.4685 5.553 9.2777 d values var ntage averag ses. This sh l option pric e average dif nce in rupee l four cases e. This show her than tha ur inference n Journal of F atility of 23 hown the hi es which ha ifference be ores , Mark ization of R Hindalco Ind sociates is R ndalco Indu market capi vide least d of five stock tion e difference in 2 6 ry significan ge difference hows that t ces increase fference in r e prices for s as call op ws that the at of the put more valid. Finance & Ac ISSN 19 2012, Vol. www.macrothi 3.34% is the highest diffe ave higher h etween the e ket capitaliz Reliance In dustries Lim Rs.15586.76 ustries Limi italization o difference k options n price % 1 4 1 1 ntly from th e in prices k the accurac es as the nu rupee prices r put option ption shows prediction t option. Re . ccounting 946-052X 4, No. 2 ink.org/ajfa e least of erence in historical expected zation of ndustries mited is 6 crores. ited and of other in price % Avg diff. 16.21 44.62 13.37 18.41 he actual keeps on y of the umber of s for call ns, while s higher level of gression Regress Model 1 a Predic Mod 1 a Predic b Depen Model 1 a Depen Model 1 a Predic Model 1 a Predic b Depen sion Analys R .9 ctors: (Cons del Regressi Residua Total ctors: (Cons ndent Varia (Constant) Days ndent Varia (i R .939(a) ctors: (Cons Regression Residual Total ctors: (Cons ndent Varia sis: Regress R R 905(a) .8 stant), Days Sum Squa ion 47.0 al 10.3 57.4 stant), Days able: ECPRI Unstanda B -1.151 .248 able: ECPRI ii) Regressi R Square .881 stant), Days Sum of 15.455 2.079 17.534 stant), Days able: EPPRI ion Value o Square A 19 . s ANO m of ares df 059 1 393 2 452 3 s ICEDIF Coeffic ardized Coeffi Std. Err 2.263 .082 ICEDIF on Value o Adjusted R .822 s ANO Squares d 2 3 s ICEDIF 102 of Differenc Adjusted R Sq 729 OVA(b) Mean 47.05 5.196 cients(a) ficients S C ror B . of Differenc Square OVA(b) df 1 2 3 Asian ce in Call Op quare St 2. n Square F 9 9. 6 Standardized Coefficients Beta 905 ce in Put O Std. Error of 1.01955 Mean Squa 15.455 1.039 n Journal of F ption prices td. Error of the 27955 Si 056 .0 t B -.508 3.009 ption price f the Estimate are F 14.8 Finance & Ac ISSN 19 2012, Vol. www.macrothi s e Estimate ig. 095(a) Sig. Std. Err .662 .095 es: e Si 868 .0 ccounting 946-052X 4, No. 2 ink.org/ajfa ror g. 61(a) Model 1 a Depen Mod 1 a Predic Model 1 a Predic Regress depende indepen expiry. option p model. differen Similar Square to expir to expir Greek u B-S-M says tha increase So far a freedom call opt the case (Constant) Days ndent Varia Model Sum del R .973(a) ctors: (Cons Model Sum R .323(a) ctors: (Cons sion analysi ent variable ndent variab On the basi prices have Here R valu nce that say relationship value .881 w ry. Based on ry is more st under the B model, thou at it is not e in time to anova is con m of denom tion price an es. Unstandar B 2.428 .142 able: EPPRI mmary: Re R Squa .946 stant), Days mmary: Re R Squa .104 stant), Days is is a metho e, in this s ble while ca is of outcom e positive re ue is .905 a ys that if tim p has been o which indic n the regress trong than t B-S-M mode ugh when it necessary t expiry will ncern the tab minator for 5 nd 14.868 fo C rdized Coeffic Std. Error 1.012 .037 ICEDIF gression Va are s egression V are Adjus -.344 s od to deal w study days all and put o me of regres elationship nd R Squar me to expir observed in cate close re sion value w the call opti el. Our stud comes to pe that always increase pu ble value fo 5 % level of for put optio 103 oefficients( cients Sta Co Bet .93 alue of % D Adjusted R .920 Value of % sted R Square 4 with the relat to expiry option prices ssion analys as it has b re .819 in ca ry decreases case of put elation ship we can say t on price. Th dy based on ercentage d s reduction ut option pric or 1 degree f significanc on price, the Asian (a) andardized efficients ta 9 Difference Square Difference e Std. 16.7 tionship betw i.e. 7, 15, s are depend sis we can s been one of ase of Europ s call prem option beha between the that put opti his relations n regression difference in in time wil ce as the Ad of freedom ce is 18.5 a erefore null n Journal of F t B 2.399 3.856 in Call Op Std. Erro 2.25733 in Put Opt Error of the E 76026 ween indep 30 and 43 dent over th say that tim f the basic p pean Call O ium decrea aviour with e put option ion price rel ship is also n analysis pr n the put opt ll reduce pu djusted R Sq for numera and compute hypothesis Finance & Ac ISSN 19 2012, Vol. www.macrothi Sig. Std. .139 .061 ption prices or of the Estim tion prices: Estimate pendent vari are consid he change in me to expiry principle of Option price ases and vic h R value .93 n premium a lationship w explain by t rove the va tion prices a ut option p quare value ator and 2 d ed value is is accepted ccounting 946-052X 4, No. 2 ink.org/ajfa Error 9 1 : mate : able and dered as n time to and call f B-S-M average ce versa. 39 and R and days with time theta (θ) alidity of analaysis rice and is -.344. degree of 9.05 for d in both Pair 1 Pair 1 Pair 1 C PP CPD: C PPD: Pu Table v indicate accepte Hypoth H1: The Model Accept H2: Th actual o corelati H3: Bla option p Recom  Me CPD 43. PPD 23. CPD & PP Paire Mean CPD - PD 20.7 Call price Av ut price Av value at 5% es that B-S- ed. hesis can be ere is no sig by taking h ed. ere is no im options pric ion between ack Schole M price. Accep mendation Traders nee price of put compared t ean N 8525 4 1525 4 N PD 4 ed Differences n Std. Deviation 15.77646 verage % D erage % Di % significanc -M model is concluded gnificant dif historical vo mpact of len ce. Rejecte n time to exp Merton mod pted ns for the A ed to be cau t option as t to call optio Paired Std 7.9 14. Paired Sa Correlat .102 Paire s Std. Er Mean 7.88823 Difference w fference wi ce level for s identical f in the follow fference bet olatrility an ngth of tim d/ Not Acc piry and pri del gives id Application utious while the averge v on. 104 Samples S d. Deviation 95835 .45960 amples Cor tion ed Samples rror 95% Co Differen Upper -4.4038 with Actual P ith Actual P r 3DF is 3.1 for both cal wing manne tween the ex nd actual pr me to expiry cepted bec ice. dentical resu of Model: e using Blac variation in Asian tatistics Std 3.9 7.2 rrelations S .8 s Test onfidence Inte nce Low 7 45.80 Price Price 182 while c ll and put op er: xpected opti rice determ y on the diff ause for bo ult for both k-Schole-M the prices a n Journal of F d. Error Mean 97917 22980 Sig. 898 t rval of the er 0387 2 computed t ption pricin ions price c ined by ma fference betw oth call and call option Merton mode are higher in Finance & Ac ISSN 19 2012, Vol. www.macrothi n t df Si (2 Std. Deviat n 2.624 3 .0 value is 2. ng hencefor computed by arket forces tween expec d put there price as we el for predic n case of pu ccounting 946-052X 4, No. 2 ink.org/ajfa ig. 2-tailed) tio Std. Erro r Mea n 079 624 that rth H3 is y B-S-M s. Result cted and is stong ell as put cting the ut option   Conclu On the b prices o stock o results volatilit increase Black-S options From th options Black-S model w is driven investor Indian s Refern Black, efficien Black, F politica Blattber as sta http://dx Burasch markets Chen, R Empiric http://dx Copelan New Yo Traders sho nearer as th in number o are less wil actual value Traders sho seem to pro usion basis of the of stock opti options. The of Black-S ty and the m es as the n Scholes-Me . he research trading Scholes-Me would lead t n by large n rs. Therefor stock option ces F., & Scho ncy. Journal F., & Schol al economy, rg, R. C., & atistical m x.doi.org/10 hi, A., & Ja s. 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Journal Johnson financia Macbet option http://dx MacBet valuatio http://dx Naik, V with http://dx Peiro, A econom www.ns R., & Sund l of x.doi.org/10 , N., & Smit D., Pan, J., iffusions. x.doi.org/10 , B., Flemin ournal of fin y, J. E. (197 nce and qua D. (1977). T ness, 50(2), R. (1979). http://dx.do R., R, Roll. Biases” in t x.doi.org/10 , & White, l of finance n, H., & Sh al and quan th, J. D., & pricing x.doi.org/10 th, J. D., & on m x.doi.org/10 V., & Lee M discontinu x.doi.org/10 A. (1994). T mics, 4(6), 43 seindia.com daram, R. K financial 0.2307/2676 th, H. (1981 , & Singleto 0.1111/1468 ng, J., and nance, 53(6 78). The Ch antitative an Tests of mar 167-197. h The valuati oi.org/10.10 ., & Shastri the Black-S 0.1111/j.154 A. (1987). 42(2), 281– hanno, D. (1 ntitative ana Merville, L g mode 0.1111/j.154 &Merville, models. 0.1111/j.154 M. (1990). G uous retu 0.1093/rfs/3 The distribu 31-439. http m K. (1999). O and 6279 1). Applied R on, K. J. (20 Econome 8-0262.001 Whaley, R ), 2059-210 hicago Boar nalysis, 13(1 rket efficien ttp://dx.doi. ion of comp 16/0304-40 , K. (1984). Scholes mo 40-6261.19 The Pricin –300. http:// 987). Optio alysis, 22(2) L. J. (1979). el. Jour 40-6261.19 L. J. (1980 Journal 40-6261.19 General equ urn. Revi 3.4.493 ution of sto p://dx.doi.or 106 Of Smiles an quantitati Regression 000). Trans trica, 64 R. E. (1998 06. http://dx rd Options 1), 29-38. ncy of the C .org/10.108 pound optio 05X(79)900 . Over-the-c odel: A no 83.tb02295 ng of Optio /dx.doi.org/ on pricing w ), 143-151. An empiric rnal of 79.tb00063 0). Tests of of 80.tb02157 uilibrium: P iew of ck returns: rg/10.1080/ Asian nd Smirks: ive ana Analysis (2 sform analy 68 ). Implied x.doi.org/10 Exchange a Chicago Boa 86/295929 ons. Journa 22-9 counter opti ote. 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