Singh, Vipul Kumar - 2012
Though the Black-Scholes model shows systematic maturity-moneyness biases, still this simple and elegant model is used … Black-Scholes model. In this paper, we have used implied and time series econometric volatility models as inputs to Black-Scholes … model for forecasting S&P Nifty 50 index option prices. The paper is divided into two main parts. The first one refers to …