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首页> 外文期刊>Margin: The Journal of Applied Economic Research >Pricing Efficiency in CNX Nifty Index Options Using the Black-Scholes Model: A Comparative Study of Alternate Volatility Measures
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Pricing Efficiency in CNX Nifty Index Options Using the Black-Scholes Model: A Comparative Study of Alternate Volatility Measures

机译：使用Black-Scholes模型的CNX精美指数期权的定价效率：替代波动率测度的比较研究

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摘要

This article attempts to determine the method of volatility estimation that prices the CNX Nifty Index options closest to the theoretical price as computed by the Black-Scholes (1973) model. Volatility has been estimated using simple variance, implied volatility, volatility index and the asymmetrical exponential generalised auto-regressive conditional heteroskedasticity (EGARCH) (1,1) model with generalised error distribution innovations. The trend in mispridng has been studied using error estimates and non-parametric tests. Our findings indicate significant mispricing in CNX Nifty Index options. The results of our study will have major implications for investors who use options as part of their portfolios and corporates who use them for risk hedging. Our study is important, as there are only a few studies that examine the pridng efficiency of options with a focus on volatility modelling. Also, our study spans a longer time period than the previous studies.
机译：本文试图确定一种波动率估计方法，该方法将由Black-Scholes（1973）模型计算出的，最接近理论价格的CNX Nifty Index期权定价。已使用简单方差，隐含波动率，波动率指数和具有广义误差分布创新的非对称指数广义自回归条件异方差（EGARCH）（1,1）模型来估计波动率。已使用误差估计和非参数检验研究了错误定价的趋势。我们的发现表明CNX Nifty Index期权定价有误。我们的研究结果将对使用期权作为投资组合一部分的投资者以及使用期权进行风险对冲的公司产生重大影响。我们的研究非常重要，因为只有少数研究以波动率建模为重点来研究期权的抵押效率。而且，我们的研究比以前的研究跨度更长。

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