Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options
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DOI: 10.1057/s41260-024-00348-1
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More about this item
Keywords
Black–Scholes; CEV model; Gram–Charlier; Nifty Index; Options; Practitioner Black–Scholes; Volatility;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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