Pricing of Index Options using Blacks Model

Pricing of Index Options using Blacks Model

Prof. S. K. Mitra

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Dr. S. K. Mitra

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1 Institute of Management Technology, Nagpur, India

GJMBR Volume 12 Issue B3

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References

H Berkman,T Brailsford,A Frino (2005). A note on execution costs for stock index futures: Information versus liquidity effects.
Fischer Black,Myron Scholes (1973). The Pricing of Options and Corporate Liabilities.
Fischer Black (1976). The pricing of commodity contracts.
B Cornell,K French (1983). The Pricing of Stock Index Futures.
Jeff Fleming,Barbara Ostdiek,Robert Whaley (1996). Trading costs and the relative rates of price discovery in stock, futures, and option markets.
Joseph Fung,Kam Chan (1994). On the arbitrage‐free pricing relationship between index futures and index options: A note.
Owain Gwilym,Mike Buckle (1999). Volatility forecasting in the framework of the option expiry cycle.
John Hull (2004). Introduction to Futures and Options Markets.
Jae Lee,Nandkumar Nayar (1993). A transactions data analysis of arbitrage between index options and index futures.
A Mackinlay,Krishna Ramaswamy (1988). Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices.
D Modest,M Sundaresan (1983). The Relationship Between Spot and Futures Prices in Stock Index Futures Markets: Some Preliminary Evidence.
J Sternberg (1994). A Re-examination of Put-Call Parity on Index Futures.
H Stoll,R Whaley (1988). Futures and Options on Stock Indexes: Economic Purpose, Arbitrage, and Market Structure.
Pradeep Yadav,Peter Pope (1990). Stock index futures arbitrage: International evidence.
J Varma (2002). Mispricing of Volatility in the Indian Index Options Market.

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Prof. S. K. Mitra. 1970. \u201cPricing of Index Options using Blacks Model\u201d. Global Journal of Management and Business Research - B: Economic & Commerce GJMBR-B Volume 12 (GJMBR Volume 12 Issue B3): .

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GJMBR Volume 12 Issue B3
Pg. 89-

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Journal Specifications

Crossref Journal DOI 10.17406/GJMBR

Print ISSN 0975-5853

e-ISSN 2249-4588

Keywords

Black-Scholes model Black’s model Cost of carry Options pricing

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Submission ReceivedDecember 12, 2011
RevisedDecember 12, 2011
Peer Review Double Blind
Handling Editor
Accepted January 5, 2012
Published January 15, 2012

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English

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Total Score: 106

Country: India

Subject: Global Journal of Management and Business Research - B: Economic & Commerce

Authors: Dr. S. K. Mitra (PhD/Dr. count: 1)

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