• ISSN: 2010-0248 (Print)
    • Abbreviated Title: Int. J. Innov.  Manag. Technol.
    • Frequency: Quarterly
    • DOI: 10.18178/IJIMT
    • Editor-in-Chief: Prof. Jin Wang
    • Executive Editor: Ms. Nancy Y. Liu
    • Abstracting/ Indexing: Google Scholar, CNKI, Ulrich's Periodicals Directory,  Crossref, Electronic Journals Library.
    • E-mail: ijimt@ejournal.net
HOME > Archive > 2013 > Volume 4 Number 4 (Aug. 2013) >
IJIMT 2013 Vol.4(4): 443-446 ISSN: 2010-0248
DOI: 10.7763/IJIMT.2013.V4.438

Effect of Return and Volatility Calculation on Option Pricing: Using BANKNIFTY

Madhu Sudan Kumar, Shom P. Das and Motahar Reza
Abstract— Predictability in the asset return and hence the volatility has remained a topic of great concern among the institutional and private investors. The underlying asset in our case is the Bank NIFTY futures. We have tried to predict the volatility using different methods using time series data which are based on historical approach. Then we applied Black- Scholes Option Pricing Model formulae to calculate the option price of Bank Nifty option. We then compared the prices with the actual market trading data of the Bank Nifty option.

Index Terms— Option pricing, volatality, Black-Scholes formula.

The authors are with the National Institute of Science and Technology, Berhampur, Orissa, India (e-mail: mdhsdnkumar88@gmail.com, shom@nist.edu; reza@nist.edu).

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Cite: Madhu Sudan Kumar, Shom P. Das and Motahar Reza, " Effect of Return and Volatility Calculation on Option Pricing: Using BANKNIFTY," International Journal of Innovation, Management and Technology vol. 4, no. 4, pp. 443-446, 2013.

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