INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT International Peer Reviewed & Refereed Journals, Open Access Journal ISSN Approved Journal No: 2456-4184 | Impact factor: 8.76 | ESTD Year: 2016
Scholarly open access journals, Peer-reviewed, and Refereed Journals, Impact factor 8.76 (Calculate by google scholar and Semantic Scholar | AI-Powered Research Tool) , Multidisciplinary, Monthly, Indexing in all major database & Metadata, Citation Generator, Digital Object Identifier(DOI)
This paper evaluates the performance of the Black Scholes Option Pricing Model (BSOPM) to the credibility of the price stock index options. For this reason, the theoretical values of the Lehman Brothers of 2008 were calculated under the Black Scholes Model. The data collected were divided into two different windows; the normal trading days and the turbulent days built around the bankruptcy of Lehman Brothers in 2008.The empirical result showed that the Black Scholes model performed differently in the normal days and turbulent days.
"EVALUATION OF THE CREDIBILITY OF BLACK-SCHOLES OPTION PRICING MODEL DURING TURBULENT AND NORMAL DAYS", International Journal of Novel Research and Development (www.ijnrd.org), ISSN:2456-4184, Vol.8, Issue 6, page no.f183-f190, June-2023, Available :http://www.ijnrd.org/papers/IJNRD2306519.pdf
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2456-4184 | IMPACT FACTOR: 8.76 Calculated By Google Scholar| ESTD YEAR: 2016
An International Scholarly Open Access Journal, Peer-Reviewed, Refereed Journal Impact Factor 8.76 Calculate by Google Scholar and Semantic Scholar | AI-Powered Research Tool, Multidisciplinary, Monthly, Multilanguage Journal Indexing in All Major Database & Metadata, Citation Generator
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