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le (1980)1 t model, whi es (1974)2 s modern finan
ent place sp bel prize for the receipien charya, M. (
onditions, e tions in the Turcan(2010 KS OPTION V/∂t + 1/2σ² nt and conti nd are depen , Steven L Scholes-Me ntial equatio e new solut
ty of varian ns reflect a ges. We pro d, put-call p ck calls hav
McKenzie, gation of th
es the prob
eth, J. D., an Journal of fi berg, R. C., a
al models for
acharya, M. of financial
n. (2010) An 99,
n, Steven L.; 7, Vol. 20 Iss nzie, S.; Gera
vidence from , 1(4), 2007.
ested the B ch assumes suggest vola
nce theory B pecially afte r economics nt of the pri 1980)3 in h xamined th 21st centur 0)4,in their NS” mentio ²S²∂²V/²S² + inue dividen ndent on tim L.; Loewen rton option on (PDE). B
ions for the nce (CEV) asset pricin ovide condi parity might
e infinite va
Dionigi Ge he Black-Sc bability of
nd Merville, L finance, 35(2) nd Gonedes, r stock prices
(1980). Emp and quantita
nals of the U
Loewenstein sue 2, p359-3 ace, D.; and m the Austral
lack – Scho volatility c atility of the Black - Sch er 1997 whe s. Sadly, Fis
ize (Hull & his paper Em he "Black-S
ry economy paper “BL oned that Pa
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nstein, Mar n valuation But this met
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itions to rul t not hold, A alue. We cla
erace, Zaff choles mod
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L. J. (1980). ), 285-301.
J. (1974). A s. Journal of
pirical proper ative analysis
University of
n, Mark; Wil 390, 32p d Subedar, Z.,
lian Stock Ex
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Basu 2010 mpirical prop
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against the en the stock g stock is st
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Table 1 DATA Underlyin Exercise P Considera Expiry Da Historical Risk Free Dividend Time(Yea d1 N(d1) d2 N(d2) Expected Actual Pri Difference % Differe
Source: c
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. Difference
ng Price Price ation Date ate l Volatility
Rate yield ars)
Price ice e in value ence
computed on t
No. 1 shows Expected p is based on e of return, T
of short per price. The d absent due INFY Call
e between a JP Assoc 67.00 70.00 9/22/201 9/29/201 43.56% 8.30% 0.86% 0.02 -0.67230 0.2507 -0.7326 0.2319 0.5871 0.9 0.3129 34.76667
the basis of re
difference rice has bee
5 factor viz Time to exp riod (7 days difference is to zero valu option i.e. R
an expected ciate RIL
786 780 11 9/2 11 9/2 23. 8.3 0.7 0.0 07 0.3 0.6 0.2 0.6 14. 18. 4.4 7 23.
ealtime data ob
between an en computed
z. Spot pric piry of the op s) there is si s m,aximum ue of N(d1) Rs. 1.9780
d and actual L
6.35 0.00 22/2011 29/2011
.71% 30% 76% 02 3073922 6207 2746 6082 .4184 .9 4816
.71217
btained from N
n expected a d by using U ce of stock,
ption, Annu gnificant di m in case of H
and N(d2), (27.6780-25
price of a c SBI
1,937.55 2,300.00 9/22/2011 9/29/2011 31.45% 8.30% 1.08% 0.02 -3.883767 0.0001 -3.9273 0.0000 0.0010 0.75 0.7490 99.86667
NSE Derivati
and actual pr Using the Bl Exercise pr ual volatility ifference be Hindalco ca while the co 5.7) 7.15%
call option e HINDALC 139.40 180.00 9/22/2011 9/29/2011 35.50% 8.30% 0.72% 0.02 -5.145161 0.0000 -5.1943 0.0000 0.0000 0.1 0.1000 100
ve segment.
rice of a cal lack – Scho rice of the o y of the stoc etween expe all option pr omperative
only .
expiring in 7 CO INFY 2,352 2,400 9/22/ 9/29/ 23.34 8.30% 1.85% 0.02 -0.35 0.360 -0.40 0.342 27.67 25.7 1.97 7.146
ll option exp oles – Merto
option, Ann ck. Table sh ected and ac rice where e difference i
7 days Y
2.60 0.00 /2011 /2011 4% % %
56009 09 052
27 780
80 647012
Table 2 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time(Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ
Source:
Table 2 of all se incresed differen highest with .24 SBI cal
2. Price diffe
ng Price Price ration Date Date
al Volatility e Rate d yield ears)
d Price rice ce in value
ence
: computed
2 indicates th elected und d because o nce between
in case of R 447 as a perc l option pri
ference betw
JP A 68.3 70.0 9/14 9/29 43.5 8.30 0.86 0.04 -0.1 0.42 -0.2 0.38 1.78 2.05 0.26 13.1
on the basis
hat increase erlaying sto f time value n expected RIL call opt
centage diff ce with 99.7
ween an exp
Associate 35 00 4/2011 9/2011 56% 0% 6% 4
9134995 241
797 899 807 5 693
3659
s of realtim
e in the time ock. Due to e of option a price and tion price w ference in In
77%.
pected and a
RIL 825.40 780.00 9/14/2011 9/29/2011 23.71% 8.30% 0.76% 0.04 1.2655302 0.8972 1.2175 0.8883 49.7800 56.15 6.3700 11.34461
me data obta
e to expiry b increase in and relative actual pric with Rs. 6.37
nfosys Call
actual price
SBI 1,826.75 2,300.00 9/14/201 9/29/201 31.45% 8.30% 1.08% 0.04 -3.53491 0.0002 -3.5987 0.0002 0.0058 2.55 2.5442 99.77255
ained from N
brings positi n time to exp
difference h ce. The diff
7 While low option is low
of a call op
HIN 5 145 0 180 11 9/14 11 9/29 35.5 8.30 0.72 0.04 11 -2.9 0.00 -2.9 0.00 0.00 0.25 0.24 5 97.8
NSE Deriva
ive impact o piry call op has been mi ference in t west in HIND
west with 6
ption expirin
NDALCO I
.10 2
.00 2
4/2011 9 9/2011 9
50% 2
0% 8
2%
4 0
915668
-018 0
9876
-014 0
053 4
5 5
447 3
88 6
ative segmen
on call optio ption price h inimized in the value h DALCO cal .44% and hi
ng in 15
INFY 2,351.65 2,400.00 9/14/2011 9/29/2011 23.34% 8.30% 1.85% 0.04 -0.209978 0.4168 -0.2819 0.3890 49.1178 52.5 3.3822 6.44228
nt.
on prices has been terms of has been
Table 3 30 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time (Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ
Source:
Table 4 43 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time(Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ
. The price s
ng Price Price ration Date Date
al Volatility e Rate d yield ears)
d Price rice ce in value
ence
: computed
4. The price s
ng Price Price ration Date Date
al Volatility e Rate d yield ears)
d Price rice ce in value
ence
difference b
JP Asso 58.30 70.00 8/29/20 9/29/20 43.56% 8.30% 0.86% 0.08 -1.3274 0.0922 -1.4544 0.0729 0.3018 0.45 0.1482 32.9333
on the basis
difference b
JP Asso 57.15 70.00 8/16/20 9/29/20 43.56% 8.30% 0.86% 0.12 -1.2060 0.1139 -1.3573 0.0873 0.4493 0.7 0.2507 35.8142
between an
ociate RI 75 78 11 8/ 11 9/
% 23
8. 0. 0. 45587 -0 0.
4 -0
0. 12 16 3. 33 21
s of realtim
between an
ociate RI 75 78 11 8/ 11 9/
% 23
8. 0. 0. 0949 -0 0. -0 0. 18 22 3. 29 16
expected a
IL 55.05 80.00 /29/2011 /29/2011 3.71%
30% 76% 08 0.343263
3657 0.4124
3400 2.5778 6
4222 1.38875
me data obta
expected a
IL 59.15 80.00 /16/2011 /29/2011 3.71%
30% 76% 12 0.177559
4295 0.2599
3975 8.8363 2.6
7637 6.65354
nd actual pr
SBI 1,938.60 2,300.00 8/29/2011 9/29/2011 31.45% 8.30% 1.08% 0.08 -1.752344 0.0399 -1.8440 0.0326 2.7623 6.5 3.7377 57.50308
ained from N
nd actual pr
SBI 2,196.95 2,300.00 8/16/2011 9/29/2011 31.45% 8.30% 1.08% 0.12 -0.285489 0.3876 -0.3947 0.3465 61.4032 55.05 6.3532 11.54078
rice of a cal
HINDALC 144.10 180.00 8/29/2011 9/29/2011 35.50% 8.30% 0.72% 0.08 -2.036193 0.0209 -2.1397 0.0162 0.1109 0.5 0.3891 77.82
NSE Deriva
rice of a cal
HINDALC 144.35 180.00 8/16/2011 9/29/2011 35.50% 8.30% 0.72% 0.12 -1.654948 0.0490 -1.7782 0.0377 0.3465 0.7 0.3535 50.5
ll option exp
CO INF 2,29 2,40 8/29 9/29 23.3 8.30 1.85 0.08 -0.3 0.37 -0.4 0.33 57.8 47.1 10.7 22.7
ative segmen
ll option exp
CO INF 2,39 2,40 8/16 9/29 23.3 8.30 1.85 0.12 0.12 0.54 -0.0 0.49 126. 81.2 45.0 55.4
piring in
Y 96.25 00.00 9/2011 9/2011 34% 0% 5% 8
22466 735
259 351 8701 15 7201 73616119
nt.
piring in
Y 99.30 00.00 6/2011 9/2011 34% 0% 5% 2 223442 487
009 996
Source:
Observ In the c achieve Associa differen followe expiry o Rs.0.14 option w associat Table 5 days.
DATA Underlyi Exercise Consider Expiry D Historica Risk Fre Dividend Time(Ye d1 Nd1 d2 Nd2 Expected Actual P Differenc % Differ
Source:
: computed
vations case of call ed in Hinda ates with Rs nce in price ed by JaiPra of 30 days, 482 and fol with time to tes which is . The price
ing Price Price ration Date Date
al Volatility e Rate d yield ears)
d Price Price
ce in value rence
: computed
on the basis
l option wi alco Indust s.0.3129. In e was achi akash Asso the least di lowed by H o expiry of 4 s Rs.0.2507
difference b
JP Assoc 67.00 70.00 9/22/201 9/29/201 43.56% 8.30% 0.86% 0.02 -0.67230 0.2507 -0.7326 0.2319 3.4868 3.9 0.4132 10.5948
on the basis
s of realtim
ith time to tries limited n the case of ieved in Hi ociates with
fference in Hindalco In
43 days, the and follow between an
ciate RIL 786 780 11 9/2 11 9/2 23.7 8.30 0.7 0.02 07 0.30 0.62 0.27 0.60 6.94 14.4 7.50 7 51.9
s of realtim
me data obta
expiry of 7 d which is f call option indalco Ind h Rs.0.2693
price was a ndustries lim
e least diffe wed by Hind expected an
L S
6.35 1
0.00 2
2/2011 9 9/2011 9
71% 3
0% 8
6% 1
2 0
073922
-207 0
746
-082 0
424 1
45 1
076 4
95571 2
me data obta
ained from N
7 days, the Rs.0.1000 n with time dustries lim . In the cas achieved in
mited with erence in pri dalco Industr
nd actual pri
SBI 1,937.55 2,100.00 9/22/2011 9/29/2011 31.45% 8.30% 1.08% 0.02 -1.795032 0.0363 -1.8386 0.0330 160.7120 165 4.2880 2.598788
ained from N
NSE Deriva
least diffe and follow to expiry o mited which se of call o JaiPrakash Rs.0.3891. ice was ach ries limited ice of a put o
HINDALCO 139.40 150.00 9/22/2011 9/29/2011 35.50% 8.30% 0.72% 0.02 -1.436585 0.0754 -1.4857 0.0687 10.6079 11.5 0.8921 7.757391
NSE Deriva
ative segmen
erence in pr wed by Jai of 15 days, t h is Rs.0.24 option with associates w .In the case hieved in Jai d with Rs.0.3
option expi
O INFY 2,352.6 2,400.0 9/22/20 9/29/20 23.34% 8.30% 1.85% 0.02 -0.3560 0.3609 -0.4052 0.3427 72.095 78.5 6.4047 8.1588
ative segmen nt.
rice was iPrakash the least 447 and
time to which is e of call iPrakash 3535 ring in 7
60 00 011 011 %
009 9
2 7 53
7 853503
Table 6 15 days DATA Underlying Exercise P Considerat Expiry Da Historical Risk Free Dividend y Time (Yea d1 Nd1 d2 Nd2 Expected P Actual Pric Difference % Differen
Source:
Table 7 30 days DATA Underlying Exercise P Considerat Expiry Dat Historical Risk Free R Dividend y Time (Yea d1 Nd1 d2 Nd2 Expected P Actual Pric Difference % Differen
6. The price s
g Price Price
tion Date ate
Volatility Rate yield ars)
Price ce e in value
nce
: computed
7. The price s
g Price Price
tion Date te Volatility Rate yield ars)
Price ce e in value
nce
difference b
JP Assoc 68.35 70.00 9/14/201 9/29/201 43.56% 8.30% 0.86% 0.04 -0.191349 0.4241 -0.2797 0.3899 3.2165 3.85 0.6335 16.45455
on the basis
difference b
JP Assoc 58.30 70.00 8/29/201 9/29/201 43.56% 8.30% 0.86% 0.08 -1.32745 0.0922 -1.4544 0.0729 11.5526 14.35 2.7974 19.49408
between an
iate RIL 825 780 1 9/14 1 9/29 23.7 8.30 0.76 0.04 995 1.26 0.89 1.21 0.88 1.98 9.75 7.76 5 79.6
s of realtim
between an
iate RIL 755 780 1 8/29 1 9/29 23.7 8.30 0.76 0.08 587 -0.3 0.36 -0.4 0.34 32.5 38.7 6.2 8 16.0
n expected a
L S
5.40 1
0.00 2
4/2011 9 9/2011 9
71% 3
0% 8
6% 1
4 0
655302
-972 0
175
-883 0
818 2
5 2
682 0
67385 0
me data obta
n expected a
L S
5.05 1
0.00 2
9/2011 8 9/2011 9
71% 3
0% 8
6% 1
8 0
343263
-657 0
4124
-400 0
5359 1
75 1
141 8
03639 4
and actual p
SBI 1,826.75 2,100.00 9/14/2011 9/29/2011 31.45% 8.30% 1.08% 0.04 -2.108033 0.0175 -2.1718 0.0149 267.6310 267 0.6310 0.23633
ained from N
and actual p
SBI 1,938.60 2,100.00 8/29/2011 9/29/2011 31.45% 8.30% 1.08% 0.08
0.759796 0.2237
0.8515 0.1973 170.3353 178.4 8.0647 4.520572
rice of a pu
HINDALCO 145.10 150.00 9/14/2011 9/29/2011 35.50% 8.30% 0.72% 0.04 -0.382229 0.3511 -0.4542 0.3248 6.8076 7.85 1.0424 13.27898
NSE Deriva
rice of a pu
HINDALCO 144.10 150.00 8/29/2011 9/29/2011 35.50% 8.30% 0.72% 0.08 -0.273911 0.3921 -0.3774 0.3529 8.8275 11.15 2.3225 20.8296
ut option exp
O INFY VALU 2,351 2,400 9/14/2 9/29/2 23.34 8.30% 1.85% 0.04 -0.209 0.416 -0.28 0.389 91.08 103.3 113.4
ative segmen
ut option exp
O INFY 2,296 2,400 8/29/2 9/29/2 23.34 8.30% 1.85% 0.08 -0.322 0.373 -0.425 0.335 148.3 140 8.366 5.975
piring in
Y UE
.65 0.00 2011 2011 4% % %
9978 68
19 90
26 5 4684341
nt.
piring in
Y 6.25 0.00 2011 2011 4% % %
2466 5 59
1 663
Source:
Table 8 43 days DATA Underlyin Exercise Consider Expiry D Historica Risk Free Dividend Time (Ye d1 Nd1 d2 Nd2 Expected Actual Pr Differenc % Differ
Source:
Observ In the ca in JaiPr Rs.0.89 was ach with Rs price w JaiPrak the leas followe cases Ja providin It is als and hin than the
: computed
8. The price s.
ng Price Price ration Date Date
al Volatility e Rate d yield ears)
d Price rice ce in value
ence
: computed
vations ase of put op rakash assoc 921. In the c
hieved in St s.0.6335 In was achieve kash Associa st differenc ed by Hinda
aiPrakash A ng least diff so observed ndalco Indus e historical
on the basis
difference b
JP Asso 57.15 70.00 8/16/20 9/29/20 43.56% 8.30% 0.86% 0.12 -1.2060 0.1152 -1.3505 0.0884 12.5859 11.15 0.2439 2.18744
on the basis
ption with t ciates which case of put o
ate Bank of the case of ed in Hind ates with Rs
e in price w alco Industr Associates an
fference from d that JaiPra
stries limited annual vola
s of realtim
between an
ociate R 75 78 011 8/ 011 9/
% 23
8. 0. 0. 0949 -0 0.
5 -0
0.
9 32
38 5. 44 14
s of realtim
ime to expir h is Rs.0.41 option with t f India whic
put option w alco Indust s.2.7974. In was achieve ries limited
nd Hindalco m the actual akash associ d has got a h atility of oth
me data obta
n expected a
RIL 59.15 80.00 /16/2011 /29/2011 3.71% .30% .76% .12 0.177559
.4295 0.2599
.3975 2.6161 8 .3839 4.16816
me data obta
ry of 7 days 132 and foll time to exp ch is Rs.0.63
with time to tries limite n the case of ed in JaiPra
with Rs.2.8 o Industries
l price. iates has go historical an her three com
ained from N
and actual p
SBI 2,196.95 2,100.00 8/16/2011 9/29/2011 31.45% 8.30% 1.08% 0.12 0.5476283 0.7080 0.4384 0.6695 46.5982 55 8.4018 15.276
ained from N
s, the least d lowed by Hi
iry of 15 da 310 and foll o expiry of d which is f put option akash assoc 8651. So it limited has
ot a historic nnual volati mpanies.
NSE Deriva
rice of a pu
HINDAL 144.35 150.00 8/16/201 9/29/201 35.50% 8.30% 0.72% 0.12 -0.17573 0.4302 -0.2990 0.3825 9.5349 12.4 2.8651 23.10565
NSE Deriva
ifference in indalco Indu ays, the least
lowed by Ja 30 days, the s Rs.2.3225 with time to ciates which can be seen occupied th
cal annual v ility of 35.5
ative segmen
ut option exp
LCO IN 2,3 2,4 1 8/1 1 9/2 23 8.3 1.8 0.1 8 0.1 0.5 -0. 0.4 10 79 29 5 37
ative segmen
n price was a dustries limi
t difference aiPrakash as e least diffe 5 and follo o expiry of
h is Rs.0.2 n that most he first two
volatility of % which ar
nt.
piring in
NFY 399.30 400.00 16/2011 29/2011
.34% 30% 85% 12 1223442 5487
0009 4996
8.4941
.4941 .3343038
nt.
achieved ited with e in price ssociates erence in owed by
43 days, 438 and tly in all ranks in
It can al all com prices m volatilit and actu Market State B limited Rs.24,7 It can b JaiPrak compan predicti
Table 9 Days to e
7 days 15 days 30 days 43 days
Observ From th values. decreas Black-S days to options average percent Black-S analysis
lso be seen mpanies in ca
mostly when ty, the Black ual value of
capitalizati Bank of Ind is Rs.2,68 725.59 crore be seen tha kash associa nies. So Bl ion for the c
9. Table sho expiry Ca ave 1.5 2.5 3.6 11.
vations he above an
In the Table sing as the Scholes-Me expiry incre
are mostly e percentag
age differen Scholes-Me
s of differen
that Infosys ase of histo n compared
k-Scholes-M f call and pu
ion of Infos dia is Rs. 1 8,533.75 cro
es and Mark at the avera ates is nea lack-Schole companies w
wing the av all option
erage differen 5243
56208 68346 .16276
nalysis it is f e 9, it can b
number of rton model eases. It can y lower than
e differenc nces compa
rton model nce in follow
s Limited w rical annual to other com Merton mod ut options o
sys Limited ,11,013.7 c ores, Marke ket capitaliz
age market arly 8.7 tim
es-Merton m with lower m
verage differ
nce in price
found that t e found that
days to ex in computa n also be fou n the avera e is not sim ared to put
for a call op wing section
which has hi l volatility a mpanies. Th del can prov of that stock
d is Rs. 1,4 crores, Mar et capitaliz zation of Jai t capitalizat mes lower
model seem market capi
rence in opt
% Avg dif 53.21 45.72 42.48 34.00
the expected t the percen xpiry increa ation of call und that the age differen milar in all option pric ption is high n makes ou
istorical vol and it has s he companie vide least di k.
46,532.7 cro rket capital zation of H iPrakash ass tion of Hin than the m ms to prov
italization.
tion prices o Put opt ff. average
3.90112 4.4685 5.553 9.2777
d values var ntage averag ses. This sh l option pric e average dif nce in rupee l four cases e. This show her than tha ur inference
atility of 23 hown the hi es which ha ifference be
ores , Mark ization of R Hindalco Ind
sociates is R ndalco Indu market capi vide least d
of five stock tion
e difference in 2
6
ry significan ge difference hows that t ces increase fference in r e prices for s as call op ws that the at of the put
more valid.
3.34% is the highest diffe ave higher h etween the e
ket capitaliz Reliance In dustries Lim Rs.15586.76 ustries Limi
italization o difference
k options
n price % 1 4 1 1
ntly from th e in prices k the accurac es as the nu rupee prices r put option
ption shows prediction t option. Re
.
e least of erence in historical expected
zation of ndustries mited is 6 crores. ited and of other in price
% Avg diff. 16.21 44.62 13.37 18.41
he actual keeps on y of the umber of s for call ns, while
Regress Model 1
a Predic
Mod 1
a Predic b Depen
Model
1
a Depen
Model 1
a Predic
Model 1
a Predic b Depen
sion Analys R .9
ctors: (Cons
del Regressi Residua Total
ctors: (Cons ndent Varia
(Constant) Days
ndent Varia
(i
R .939(a)
ctors: (Cons
Regression Residual Total
ctors: (Cons ndent Varia
sis: Regress
R R
905(a) .8
stant), Days
Sum Squa ion 47.0 al 10.3 57.4
stant), Days able: ECPRI
Unstanda
B -1.151 .248
able: ECPRI
ii) Regressi
R Square .881
stant), Days
Sum of 15.455 2.079 17.534
stant), Days able: EPPRI
ion Value o Square A
19 .
s
ANO
m of ares df 059 1 393 2 452 3
s
ICEDIF
Coeffic
ardized Coeffi
Std. Err 2.263 .082
ICEDIF
on Value o
Adjusted R .822
s
ANO
Squares d
2 3
s
ICEDIF
of Differenc Adjusted R Sq
729
OVA(b)
Mean 47.05 5.196
cients(a)
ficients S C
ror B
.
of Differenc
Square
OVA(b)
df 1 2 3
ce in Call Op quare St
2.
n Square F
9 9.
6
Standardized Coefficients
Beta
905
ce in Put O
Std. Error of 1.01955
Mean Squa 15.455 1.039
ption prices td. Error of the
27955
Si 056 .0
t
B -.508 3.009
ption price
f the Estimate
are F 14.8
s
e Estimate
ig. 095(a)
Sig.
Std. Err .662 .095
es:
e
Si 868 .0
ror
Model
1
a Depen
Mod 1
a Predic
Model 1
a Predic Regress depende indepen expiry. option p model. differen Similar Square to expir to expir Greek u B-S-M says tha increase So far a freedom call opt the case
(Constant) Days
ndent Varia
Model Sum
del R .973(a)
ctors: (Cons
Model Sum
R .323(a)
ctors: (Cons sion analysi
ent variable ndent variab
On the basi prices have Here R valu nce that say
relationship value .881 w ry. Based on ry is more st under the B model, thou at it is not e in time to anova is con m of denom
tion price an es.
Unstandar
B 2.428 .142
able: EPPRI
mmary: Re
R Squa .946
stant), Days
mmary: Re
R Squa .104
stant), Days is is a metho e, in this s ble while ca is of outcom e positive re
ue is .905 a ys that if tim
p has been o which indic n the regress
trong than t B-S-M mode
ugh when it necessary t expiry will ncern the tab minator for 5
nd 14.868 fo
C
rdized Coeffic
Std. Error 1.012 .037
ICEDIF
gression Va
are
s
egression V
are Adjus -.344
s
od to deal w study days all and put o
me of regres elationship
nd R Squar me to expir observed in cate close re sion value w the call opti el. Our stud
comes to pe that always
increase pu ble value fo 5 % level of for put optio
oefficients(
cients Sta Co
Bet
.93
alue of % D
Adjusted R .920
Value of %
sted R Square 4
with the relat to expiry option prices
ssion analys as it has b re .819 in ca ry decreases case of put elation ship we can say t on price. Th dy based on
ercentage d s reduction ut option pric
or 1 degree f significanc on price, the
(a)
andardized efficients
ta
9
Difference
Square
Difference
e Std.
16.7
tionship betw i.e. 7, 15, s are depend sis we can s been one of ase of Europ s call prem
option beha between the that put opti
his relations n regression difference in in time wil ce as the Ad of freedom ce is 18.5 a erefore null
t
B 2.399 3.856
in Call Op
Std. Erro 2.25733
in Put Opt
Error of the E 76026
ween indep 30 and 43 dent over th say that tim f the basic p
pean Call O ium decrea aviour with e put option ion price rel ship is also n analysis pr n the put opt
ll reduce pu djusted R Sq for numera and compute hypothesis
Sig.
Std. .139 .061
ption prices
or of the Estim
tion prices:
Estimate
pendent vari are consid he change in me to expiry
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F., & Scho ncy. Journal
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R., & Palm cal Eviden
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ould avoid u he relative /
of days to e ll lead to hig
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real time da ions have be e difference choles-Mer market capit number of rton model
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days to expir
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