Amar Sohal 0508 Black Scholes Model

Black-Scholes Model:
Test of Efficiency for American Call

Options
A DISSERTATION SUBMITTED IN PARTIAL FULFILLMENT OF

THE CURRICULUM REQUIREMENTS FOR
THE AWARD OF THE DEGREE OF
MASTER OF BUSINESS ADMINISTRATION
OF BANGALORE UNIVERSITY
Submitted by:
Amarpal Sohal
Registration Number
05XQCM6008
Under the guidance

Of
Dr. Nagesh Malavalli
Principal-MPBIM
M.P.Birla Institute of Management,

Associate Bharatiya Vidya Bhavan,
Bangalore 560001
2005-07
DECLARATION
I hereby declare that the research work embodied in the dissertation entitled
“BLACK-SCHOLES MODEL: TEST OF EFFICIENCY FOR AMERICAN CALL
OPTIONS” is the result of research work carried out by me, under the guidance
and supervision of Dr. Nagesh Malavalli, Principal M.P.Birla Institute of
Management, Bangalore.
I also declare that this report has not been submitted to any other University or
Institute for award of any Degree or Diploma.
Place: Bangalore (AMARPAL SOHAL)
Date: Reg. no. 05XQCM6008

PRINCIPAL’S CERTIFICATE
This is to certify that the Project titled “BLACK-SCHOLES MODEL: TEST OF

EFFICIENCY FOR AMERICAN CALL OPTIONS” has been prepared by Mr.
Amarpal Sohal bearing registration number 05XQCM6008, under the
guidance of Dr. Nagesh Malavalli, Principal M.P.Birla Institute of
Management, Associate Bharatiya Vidya Bhavan, Bangalore.
Place: Bangalore Dr. NAGESH MALAVALLI
Date: (Principal)
GUIDE CERTIFICATE
This is to certify that the Project titled “BLACK-SCHOLES MODEL: TEST OF

EFFICIENCY FOR AMERICAN CALL OPTIONS” has been prepared by Mr.
Mr. Amarpal Sohal bearing registration number 05XQCM6008, under
the guidance of Dr. Nagesh Malavalli, Principal M.P.Birla Institute of
Management, Associate Bharatiya Vidya Bhavan, Bangalore.
Place: Bangalore
Date: (Dr. Nagesh Malavalli)
ACKNOWLEDGEMENT
The completion of the research would have been impossible without the valuable
contributions of people from the academics, family and friends.
I hereby wish to express my sincere gratitude to all those who supported me
throughout the study.
I am thankful to Dr. NAGESH MALAVALLI, Principal, M.P.Birla Institute of

Management, Bangalore for his valuable guidance, academic and moral support
which made this report a reality.
I am greatly thankful to Prof. T.V. Narasimha Rao (Finance), Prof. Santhanam

(Statistics) and Prof. Rudramurthy (Finance) for their support in completion of
this report.
I also thank my family members and friends whose support and encourage has
meant a lot to me personally and also for the completion of the report.
(Amarpal Sohal)
CONTENTS
Phase’s PARTICULARS
1.
Introduction
o Background
o Purpose of the study
o Problem statement
o Objectives of the study
o Hypothesis
o Limitations of the study
o Theoretical frame work
2.
Review of Literature
o Theoretical literature
o Empirical literature
3. Methodology
4. Data analysis and Interpretation
5. Discussions and conclusions

o Discussions
o conclusions
Bibliography
Annexure
o Sample data
Phase: 1
Introduction
Introduction
Background
Futures Option Contracts now trade on every major futures exchange and on a
wide variety of underlying futures contracts. Where the underlying spot
commodities are financial assets such as stock portfolios, bonds and notes,
foreign currencies, precious metals such as gold and silver, livestock
commodities such as cattle and hogs, and agricultural commodities such as corn
and soybeans.
With the markets for these new contingent claims becoming increasingly active, it
is appropriate that the fundamentals of futures option valuation be reviewed and
tested. Black provides a framework for the analysis of commodity futures options.
Although his work is explicitly directed at pricing European options on forward
contracts, it applies to European futures contracts as well if the risk less rate of
interest is constant during the futures option life.’ The options currently trading,
however, are American options, and only recently has theoretical we begun to
focus on the American futures option pricing problem.
The purpose of this paper is to review the theory underlying American futures
option valuation and to test it on transaction prices from the NIFFTY 50 equity
futures option market. In the first section of the report, the theory of futures option
pricing is reviewed. The partial differential equation of Black (presented, and the
boundary conditions of the American and European futures option pricing
problems) are shown to imply different valuation equations. F the American
futures options, efficient analytic approximations of the values the call and the
magnitude of the early exercise premium is simulated.
In the second section of the paper, the American futures option valuation
principles are tested on NIFFTY 50 futures option contract data for the period
January, 2006 through December, 2006.
Problem statement
There are various studies have been done to study the efficiency of Black-
Scholes model for options pricing in America and Europe
This study explores the evidence of efficiency of Black-Scholes model for options
pricing in India.
Objectives of the study

The objective of my study is to find efficiency of Black-Scholes model for
options pricing in India. And to
• To analyze the call prices obtained using the Black-Scholes model
• To find out efficiency of Black-Scholes model.
.
Limitations of the study
The study is limited to 21 companies options only

The study is limited to a period of one year only
Phase: 2
Theoretical
Framework
Theoretical Framework
Introduction to Derivatives The origin of derivatives can be traced back to

the need of farmers to protect themselves against fluctuations in the price of their
crop. From the time it was sown to the time it was ready for harvest, farmers
would face price uncertainty. Through the use of simple derivative products, it
was possible for the farmer to partially or fully transfer price risks by locking–in
asset prices. These were simple contracts developed to meet the needs of
farmers and were basically a means of reducing risk.
A farmer who sowed his crop in June faced uncertainty over the price he
would receive for his harvest in September. In years of scarcity, he would
probably obtain attractive prices. However, during times of oversupply, he would
have to dispose off his harvest at a very low price. Clearly this meant that the
farmer and his family were exposed to a high risk of price uncertainty.
On the other hand, a merchant with an ongoing requirement of grains too
would face a price risk – that of having to pay exorbitant prices during dearth,
although favorable prices could be obtained during periods of oversupply. Under
such circumstances, it clearly made sense for the farmer and the merchant to
come together and enter into a contract whereby the price of the grain to be
delivered in September could be decided earlier. What they would then negotiate
happened to be a futures–type contract, which would enable both parties to
eliminate the price risk.
In 1848, the Chicago Board of Trade, or CBOT, was established to bring
farmers and merchants together. A group of traders got together and created the
‘to–arrive’ contract that permitted farmers to lock in to price upfront and deliver
the grain later. These to-arrive contracts proved useful as a device for hedging
and speculation on price changes. These were eventually standardised, and in
1925 the first futures clearing house came into existence.
Today, derivative contracts exist on a variety of commodities such as corn,
pepper, cotton, wheat, silver, etc. Besides commodities, derivatives contracts
also exist on a lot of financial underlying like stocks, interest rate, exchange rate,
etc.
Derivatives
A derivative is a product whose value is derived from the value of one or more
underlying variables or assets in a contractual manner. The underlying asset can
be equity, forex, commodity or any other asset. In our earlier discussion, we saw
that wheat farmers may wish to sell their harvest at a future date to eliminate the
risk of a change in prices by that date. Such a transaction is an example of a
derivative. The price of this derivative is driven by the spot price of wheat which
is the “underlying” in this case.
The Forwards Contracts (Regulation) Act, 1952, regulates the forward/ futures
contracts in commodities all over India. As per this the Forward Markets
Commission (FMC) continues to have jurisdiction over commodity forward/
futures contracts. However when derivatives trading in securities was introduced
in 2001, the term “security” in the Securities Contracts (Regulation) Act, 1956
(SCRA), was amended to include derivative contracts in securities.
Consequently, regulation of derivatives came under the purview of Securities
Exchange Board of India (SEBI). We thus have separate regulatory authorities
for securities and commodity derivative markets.
Derivatives are securities under the SCRA and hence the trading of
derivatives is governed by the regulatory framework under the SCRA. The
Securities Contracts (Regulation) Act, 1956 (SC(R) A) defines “derivative” to
include –
1 A security derived from a debt instrument, share, loan whether secured or

unsecured, risk instrument or contract for differences or any other form of
security.
2 A contract which derives its value from the prices, or index of prices, of
underlying securities.
Products, participants and functions
Derivative contracts are of different types. The most common ones are forwards,
futures, options and swaps. Participants who trade in the derivatives market can
be classified under the following three broad categories – hedgers, speculators,
and arbitragers.
1 Hedgers: The farmer’s example that we discussed about was a case of

hedging. Hedgers face risk associated with the price of an asset. They use the
futures or options markets to reduce or eliminate this risk.
2 Speculators: Speculators are participants who wish to bet on future
movements in the price of an asset. Futures and options contracts can give them
leverage; that is, by putting in small amounts of money upfront, they can take
large positions on the market. As a result of this leveraged speculative position,
they increase the potential for large gains as well as large losses.
3 Arbitragers: Arbitragers work at making profits by taking advantage of
discrepancy between prices of the same product across different markets. If, for
example, they see the futures price of an asset getting out of line with the cash
price, they would take offsetting positions in the two markets to lock in the profit.
Derivatives Market
Derivative products initially emerged as hedging devices against fluctuations

in commodity prices, and commodity-linked derivatives remained the sole form
of such products for almost three hundred years. Financial derivatives came
into spotlight in the post-1970 period due to growing instability in the financial
markets. However, since their emergence, these products have become very
popular and by 1990s, they accounted for about two-thirds of total transactions
in derivative products. In recent years, the market for financial derivatives has
grown tremendously in terms of variety of instruments available, their
complexity and also turnover. In the class of equity derivatives the world over,
futures and options on stock indices have gained more popularity than on
individual stocks, especially among institutional investors, who are major users
of index-linked derivatives. Even small investors find these useful due to high
correlation of the popular indexes with various portfolios and ease of use. The
lower costs associated with index derivatives vis–a–vis derivative products
based on individual securities is another reason for their growing use.
Derivative markets can broadly be classified as commodity derivative market and

financial derivatives markets. As the name suggest, commodity derivatives
markets trade contracts for which the underlying asset is a commodity. It can be
an agricultural commodity like wheat, soybeans, rapeseed, cotton, etc or
precious metals like gold, silver, etc. Financial derivatives markets trade
contracts that have a financial asset or variable as the underlying. The more
popular financial derivatives are those which have equity, interest rates and
exchange rates as the underlying. The most commonly used derivatives
contracts are forwards, futures and options which we shall discuss in detail later.
Spot versus forward transaction
Using the example of a forward contract, let us try to understand the difference
between a spot and derivatives contract. Every transaction has three
components – trading, clearing and settlement. A buyer and seller come
together, negotiate and arrive at a price. This is trading. Clearing involves finding
out the net outstanding, that is exactly how much of goods and money the two
should exchange. For instance A buys goods worth Rs.100 from B and sells
goods worth Rs.50 to B. On a net basis A has to pay Rs.50 to B. Settlement is
the actual process of exchanging money and goods.
In a spot transaction, the trading, clearing and settlement happens
instantaneously, i.e. “on the spot”. Consider this example. On 1st January 2004,
Aditya wants to buy some gold. The goldsmith quotes Rs.6,000 per 10 grams.
They agree upon this price and Aditya buys 20 grams of gold. He pays
Rs.12,000, takes the gold and leaves. This is a spot transaction.
Now suppose Aditya does not want to buy the gold on the 1st January, but
wants to buy it a month later. The goldsmith quotes Rs.6,015 per 10 grams. They
agree upon the “forward” price for 20 grams of gold that Aditya wants to buy and
Aditya leaves. A month later, he pays the goldsmith Rs.12,030 and collects his
gold. This is a forward contract, a contract by which two parties irrevocably agree
to settle a trade at a future date, for a stated price and quantity. No money
changes hands when the contract is signed. The exchange of money and the
underlying goods only happens at the future date as specified in the contract. In
a forward contract the process of trading, clearing and settlement does not
happen instantaneously. The trading happens today, but the clearing and
settlement happens at the end of the specified period.
A forward is the most basic derivative contract. We call it a derivative because
it derives value from the price of the asset underlying the contract, in this case
gold. If on the 1st of February, gold trades for Rs.6,050 in the spot market, the
contract becomes more valuable to Aditya because it now enables him to buy
gold at Rs.6,015. If however, the price of gold drops down to Rs.5,990, he is
worse off because as per the terms of the contract, he is bound to pay Rs.6,015
for the same gold. The contract has now lost value from Aditya’s point of view.
Note that the value of the forward contract to the goldsmith varies exactly in an
opposite manner to its value for Aditya.
Exchange traded versus OTC derivatives
Derivatives have probably been around for as long as people have been
trading with one another. Forward contracting dates back at least to the 12th
century, and may well have been around before then. These contracts were
typically OTC kind of contracts. Over the counter(OTC) derivatives are
privately negotiated contracts. Merchants entered into contracts with one
another for future delivery of specified amount of commodities at specified
price. A primary motivation for pre– arranging a buyer or seller for a stock of
commodities in early forward contracts was to lessen the possibility that large
swings would inhibit marketing the commodity after a harvest.
Some commonly used derivatives
Here we define some of the more popularly used derivative contracts. Some of
these, namely futures and options will be discussed in more details at a later
stage.
Forwards: As we discussed, a forward contract is an agreement between two

entities to buy or sell the underlying asset at a future date, at today’s pre-
agreed price.
Futures: A futures contract is an agreement between two parties to buy or sell

the underlying asset at a future date at today’s future price. Futures
contracts differ from forward contracts in the sense that they are
standardized and exchange traded.
Options: There are two types of options -calls and puts. Calls give the buyer
the right but not the obligation to buy a given quantity of the underlying
asset, at a given price on or before a given future date. Puts give the buyer
the right, but not the obligation to sell a given quantity of the underlying
asset at a given price on or before a given date.
Warrants: Options generally have lives of upto one year, the majority of options
traded on options exchanges having a maximum maturity of nine months.
Longer–dated options are called warrants and are generally traded over–
the–counter.
Baskets: Basket options are options on portfolios of underlying assets. The

underlying asset is usually a weighted average of a basket of assets. Equity
index options are a form of basket options.
Swaps: Swaps are private agreements between two parties to exchange cash
flows in the future according to a prearranged formula. They can be
regarded as portfolios of forward contracts. The two commonly used swaps
are :
Interest rate swaps: These entail swapping only the interest related cash
flows between the parties in the same currency.
Currency swaps: These entail swapping both principal and interest

between the parties, with the cashflows in one direction being in a different
currency than those in the opposite direction.
Swaptions: Swaptions are options to buy or sell a swap that will become
operative at the expiry of the options. Thus a swaption is an option on a
forward swap.
Introduction to options
In this section, we look at another interesting derivative contract, namely options.

Options are fundamentally different from forward and futures contracts. An option
gives the holder of the option the right to do something. The holder does not
have to exercise this right. In contrast, in a forward or futures contract, the two
parties have committed themselves to doing something. Whereas it costs nothing
(except margin requirements) to enter into a futures contract, the purchase of an
option requires an up–front payment.
Although options have existed for a long time, they were traded OTC, without
much knowledge of valuation. The first trading in options began in Europe and
the US as early as the seventeenth century. It was only in the early 1900s that a
group of firms set up what was known as the put and call Brokers and Dealers
Association with the aim of providing a mechanism for bringing buyers and
sellers together. If someone wanted to buy an option, he or she would contact
one of the member firms. The firm would then attempt to find a seller or writer of
the option either from its own clients or those of other member firms. If no seller
could be found, the firm would undertake to write the option itself in return for a
price. This market however suffered from two deficiencies. First, there was no
secondary market and second, there was no mechanism to guarantee that the
writer of the option would honour the contract. In 1973, Black, Merton and
Scholes invented the famed Black-Scholes formula. In April 1973, CBOE was set
up specifically for the purpose of trading options. The market for options
developed so rapidly that by early ’80s, the number of shares underlying the
option contract sold each day exceeded the daily volume of shares traded on the
NYSE. Since then, there has been no looking back
Option terminology
Commodity options: Commodity options are options with a commodity

as the underlying. For instance a gold options contract would give the holder the
right to buy or sell a specified quantity of gold at the price specified in the
contract.
Stock options: Stock options are options on individual stocks. Options
currently trade on over 500 stocks in the United States. A contract gives the
holder the right to buy or sell shares at the specified price.
Buyer of an option: The buyer of an option is the one who by paying the
option premium buys the right but not the obligation to exercise his option on the
seller/ writer.
Writer of an option: The writer of a call/ put option is the one who
receives the option premium and is thereby obliged to sell/ buy the asset if the
buyer exercises on him.
There are two basic types of options, call options and put options.
Call option: A call option gives the holder the right but not the obligation
to buy an asset by a certain date for a certain price.
Put option: A put option gives the holder the right but not the obligation to
sell an asset by a certain date for a certain price.
Option price: Option price is the price which the option buyer pays to the
option seller. It is also referred to as the option premium.
Expiration date: The date specified in the options contract is known as
the expiration date, the exercise date, the strike date or the maturity.
Strike price: The price specified in the options contract is known as the
strike price or the exercise price.
American options: American options are options that can be exercised at
any time up to the expiration date. Most exchange-traded options are American.
European options: European options are options that can be exercised
only on the expiration date itself. European options are easier to analyse than
American options, and properties of an American option are frequently deduced
from those of its European counterpart.
In-the-money option: An in-the-money (ITM) option is an option that
would lead to a positive cashflow to the holder if it were exercised immediately. A
call option on the index is said to be in-the-money when the current index stands
at a level higher than the strike price (i.e. spot price _ strike price). If the index is
much higher than the strike price, the call is said to be deep ITM. In the case of a
put, the put is ITM if the index is below the strike price.
At-the-money option: An at-the-money (ATM) option is an option that
would lead to zero cashflow if it were exercised immediately. An option on the
index is at-the-money when the current index equals the strike price (i.e. spot
price = strike price).
Out-of-the-money option: An out-of-the-money (OTM) option is an
option that would lead to a negative cashflow it it were exercised immediately. A
call option on the index is out-of-the-money when the current index stands at a
level which is less than the strike price (i.e. spot price _ strike price). If the index
is much lower than the strike price, the call is said to be deep OTM. In the case
of a put, the put is OTM if the index is above the strike price.
Intrinsic value of an option: The option premium can be broken down
into two components -intrinsic value and time value. The intrinsic value of a call is
the amount the option is ITM, if it is ITM. If the call is OTM, its intrinsic value is
zero
Time value of an option: The time value of an option is the difference
between its premium and its intrinsic value. Both calls and puts have time
value. An option that is OTM or ATM has only time value. Usually, the
maximum time value exists when the option is ATM. The longer the time to
expiration, the greater is an option’s time value, all else equal. At expiration,
an option should have no time value.
Phase: 3
Literature Review
Literature Review
EMPIRICAL LITERATURE
Many researchers had done the significant work in this area and their research
provokes another research. Black (1975) suggested that the original B-S model
can be modified to take account of dividends; he also reported that the B-S
model underprices deep out-of-the-money call options when standard deviations
on the underlying stocks are estimated using historical stock price data. Sharpe
(1978) concluded that the modified B-S approach “while not exact, is probably
sufficient for many listed options”. Macbeth and Merville (1979, 1980) had done
some work in this field and tested the B-S model on the six firms and found
biases which were the exact of those reported by Black. Roll (1977) solved the
problem of valuing an American call written on an underlying stock with known
dividends by noting that the call can be as a portfolio of three European options.
The result indicated that Roll model using implied standard deviations,
significantly reduces and sometimes completely eliminates these biases.
Whaley(1986) has also observed the inefficiency of B-S model for American
options.
THEORETICAL LITERATURE
Black–Scholes model Robert C. Merton was the first to publish a paper

expanding our mathematical understanding of the options pricing model and
coined the term "Black-Scholes" options pricing model, by enhancing work that
was published by Fischer Black and Myron Scholes. It is somewhat unfair to
Merton that the resulting formula has ever since been known as Black-Scholes,
but with another hyphen the label would be unwieldy. The paper was first
published in 1973. The foundation for their research relied on work developed by
scholars such as Louis Bachelier, A. James Boness, Edward O. Thorp, and Paul
Samuelson. The fundamental insight of Black-Scholes is that the option is
implicitly priced if the stock is traded.
Merton and Scholes received the 1997 Nobel Prize in Economics for this and
related work; Black was ineligible, having passed away in 1995.
The key assumptions of the Black–Scholes model are:

• The price of the underlying instrument St follows a geometric Brownian
motion with constant drift μ and volatility σ:
•
• It is possible to short sell the underlying stock.
• There are no arbitrage opportunities.
• Trading in the stock is continuous.
• There are no transaction costs or taxes.
• All securities are perfectly divisible (e.g. it is possible to buy 1/100th of a
share).
• It is possible to borrow and lend cash at a constant risk-free interest rate.
The formula for the price of a call option with exercise price K on a stock
currently trading at price S, i.e., the right to buy a share of the stock at price K
after T years. The constant interest rate is r, and the constant stock volatility is σ.
Where
Phase: 4
Methodology
Methodology
Study Design
a) Study Type: The study type is analytical, quantitative and historical.

Analytical because facts and existing information is used for the analysis,
Quantitative as relationship is examined by expressing variables in
measurable terms and also Historical as the historical information is used for
analysis and interpretation.
b) Study population: population is the entire Options market.
c) Sampling frame: Sampling Frame would be Indian stock Options market.
d) Sample: Sample chosen is options of 21 companies from Nifty 50 for the

period started from 1-1-2006 to 31-3-2006.
e) Sampling technique: Deliberate sampling is used because only particular

units are selected from the sampling frame. Such a selection is undertaken as
these units represent the population in a better way and reflect better
relationship with the other variable.
Data gathering procedures and instruments:
Data: Historical options prices and information about underlying stock’s

Historical daily prices.
Data Source: Historical options prices and Historical daily prices of

underlying stock have been taken from NSE website (www.nseindia.com).
Table No.1: SAMPLE COMPANIES
1 Dr. Reddy's Laboratories Ltd.

2 Grasim Industries Ltd.
3 Gujarat Ambuja Cements Ltd.
4 HDFC
5 HDFC Bank Ltd.
6 Hero Honda Motors Ltd.
7 Hindalco Industries Ltd.
8 Hindustan Lever Ltd.
9 I T C Ltd.
10 ICICI Bank Ltd.
11 Infosys Technologies Ltd.
12 Maruti Udyog Ltd.
13 NTPC
14 Oil & Natural Gas Corporation Ltd.
15 Ranbaxy Laboratories Ltd.
16 Reliance Industries Ltd.
17 Satyam Computer Services Ltd.
18 State Bank of India
19 Tata Consultancy Services Ltd.
20 Tata Motors Ltd.
21 Wipro Ltd.
Phase 6
Data Analysis and

Interpretation
Data Analysis and Interpretation
One exclusionary criteria is applied to select the options is that only the options
with highest strike price during the month for near date options were selected.
What remained was a sample of 3181 near month call options.
Table 2 offers a summary of the characteristics of the options per company for
the sample time period.
The Risk-Free rate of interest is taken at 7.5% as interest on government

deposits during the sample period varied between 7% and 8%, interest on
government deposits is taken as proxy for risk-free rate of interest.
Table No.2: NO of Options per company

1 Dr. Reddy's Laboratories Ltd. 135
2 Grasim Industries Ltd. 127
3 Gujarat Ambuja Cements Ltd. 128
4 HDFC 164
5 HDFC Bank Ltd. 141
6 Hero Honda Motors Ltd. 209
7 Hindalco Industries Ltd. 131
8 Hindustan Lever Ltd. 147
9 I T C Ltd. 163
10 ICICI Bank Ltd. 158
11 Infosys Technologies Ltd. 155
12 Maruti Udyog Ltd. 154
13 NTPC 140
14 Oil & Natural Gas Corporation Ltd. 169
15 Ranbaxy Laboratories Ltd. 180
16 Reliance Industries Ltd. 190
17 Satyam Computer Services Ltd. 122
18 State Bank of India 132
19 Tata Consultancy Services Ltd. 129
20 Tata Motors Ltd. 156
21 Wipro Ltd. 151
Implied Standard Deviation Methodology
Observed market prices were used to determine annualized implied standard

deviations. An estimated standard deviation was determined for an at-the-money
option by regressing the implied standard deviation for an individual firm against
the percentage difference between the stock price and discounted exercise price.
To Facilitate comparison results of Black- Scholes model are plotted against the
market prices in the following chart:
Black-Scholes Call Price
8.00
7.00
6.00
5.00
4.00
3.00
2.00
1.00
0.00
0 20 40 60 80 100
Black-Scholes Call Price
The chart reveals that there was difference between the market price and call
price determined using Black-Scholes model. And in case of American call
options it does not give accurate results.
SUMMARY AND
CONCLUSIONS
Summary and Conclusions:
Purpose of this paper was to review the theory underlying American Options
valuation and to test the theory in one of the developing futures; option market.
The theoretical work begins by focusing on the partial differential equation of
Black and by discussing how the boundary conditions to the equation imply
different structural forms to the pricing equations. Although no analytic solutions
to the American futures option pricing problems are provided, efficient analytic
approximations are presented Simulations of futures option prices using the B-S
model and plausible option pricing parameters show that the early exercise
premium of the American futures options a significant impact on pricing if the
option is in-the-money.
The empirical work focuses on transaction prices for Nifty equity futures options
during sample periods trading days of the market’s existence, the period from
January 1, 2006 through December 31, 2006. The major empirical results as
follows:
1. A moneyness bias and a maturity bias appear for the American futures option
pricing models.
2. The standard deviation implied by call option transaction prices is lower.

Phase 8
BIBLIOGRAPHY
Bibliography:
Text Books
• Derivatives
Dobofsky
• Research Methodology
Donald Cooper and Pamela Schindler , (Eighth Edition)
Websites
• www.investopedia.com
• www.nseindia.com
• www.bseindia.com
• www.icfaipress.org
• www.google.co.in
• www.wikipedia.com
Jstor Database
Reference:
1. 0. Barone-Adesj. “Maximum Likelihood Tests of Option Pricing Models”

Advances in Futures and Option Research 1, forthcoming, 1985.
2. and R. E. Whaley. Efficient Analytic Approximation of American Option

Values.’ Working Paper No. 15, Institute for Financial Research, University of
Alberta. 1985.
3. F. Black. Fact and Fantasy in the Use of Options.” Financial Analysts Journal
31 (July/August 1975) 36—41, 61—72.
4. R. Geske and K Roll. “Isolating the Observed Biases in American Call Option
Pricing: An Alternative Estimator.’ Working Paper, Graduate School of
Management, UCLA, 1984.
5. R. Geske and K. Shastri. ‘Valuation by Approximation: A Comparison of

Alternative Valuation Techniques.” Journal of Financial and Quantitative Analysis
20 (March 198 45—71.
6. R. C. Merton. ‘The Theory of Rational Option Pricing.” Bell Journal of

Economics anti Manage ment Science 4 (Spring 1973) 141—83.
7. R. F. Whaley, “Valuation of American Call Options on Dividend-Paying Stocks:

Empirical Tests,” Journal of Financial Economics 10 (March 1982), 29—57,
8. . “On Valuing American Futures Options.” Financial Analysts Journal

(forthcoming) and Working Paper No. 4, Institute for Financial Research
University of Alberta, 1984.
Phase 9
ANNEXURES
Black-
Scholes
Market Black-Scholes Call Market Call
Company price Price Company price Price
DRREDDY 4.9 0.00 MARUTI 0.15 0.00
DRREDDY 2.8 0.00 MARUTI 2 0.00
DRREDDY 2.4 0.00 MARUTI 1.7 0.00
DRREDDY 1.35 0.00 MARUTI 0.5 0.00
DRREDDY 0.45 0.00 MARUTI 0.25 0.00
DRREDDY 0 0.00 MARUTI 0 0.00
DRREDDY 0 0.00 MARUTI 20.15 0.00
DRREDDY 0.05 0.00 MARUTI 17.85 0.00
DRREDDY 3.1 0.00 MARUTI 6.75 0.00
DRREDDY 0.75 0.00 MARUTI 7.3 0.00
DRREDDY 0.05 0.00 MARUTI 3.9 0.00
DRREDDY 23.8 0.00 MARUTI 3.05 0.00
DRREDDY 19.55 0.00 MARUTI 2.05 0.00
DRREDDY 22.9 0.00 MARUTI 1.05 0.00
DRREDDY 14.3 0.00 MARUTI 0.45 0.00
DRREDDY 10.25 0.00 MARUTI 0.1 0.00
DRREDDY 6.3 0.00 MARUTI 0.05 0.00
DRREDDY 13.05 0.00 MARUTI 11.9 0.00
DRREDDY 0.2 0.00 MARUTI 7.45 0.00
DRREDDY 84.25 0.00 MARUTI 4.5 0.00
DRREDDY 73.3 0.00 MARUTI 2.4 0.00
DRREDDY 53.9 0.00 MARUTI 2.5 0.00
DRREDDY 47.35 0.00 MARUTI 0.25 0.00
DRREDDY 38.25 0.00 MARUTI 2.45 0.00
DRREDDY 36.8 0.00 MARUTI 1.5 0.00
DRREDDY 20.35 0.00 MARUTI 19.85 0.00
DRREDDY 6.25 0.00 MARUTI 13.8 0.00
DRREDDY 1.8 0.00 MARUTI 10.25 0.00
DRREDDY 0.05 0.00 MARUTI 16.45 0.00
DRREDDY 2.45 0.00 MARUTI 1.1 0.00
DRREDDY 0.45 0.00 MARUTI 1.65 0.00
DRREDDY 0.25 0.00 MARUTI 0.3 0.00
DRREDDY 0.15 0.00 MARUTI 0.05 0.00
DRREDDY 23.25 0.00 MARUTI 2.5 0.00
DRREDDY 14.1 0.00 MARUTI 16.15 0.00
DRREDDY 6.55 0.00 MARUTI 6.6 0.00
DRREDDY 6.1 0.00 MARUTI 4.25 0.00
DRREDDY 1.85 0.00 MARUTI 10.75 0.00
DRREDDY 0.25 0.00 MARUTI 8.1 0.00
DRREDDY 0.1 0.00 MARUTI 10.05 0.00
DRREDDY 0.05 0.00 MARUTI 7.6 0.00
DRREDDY 0.15 0.00 MARUTI 4.45 0.00
DRREDDY 0.05 0.00 MARUTI 4.85 0.00
DRREDDY 5.95 0.00 MARUTI 0.25 0.00
DRREDDY 1.8 0.00 MARUTI 0.05 0.00
DRREDDY 1.4 0.00 MARUTI 0.05 0.00
DRREDDY 0.15 0.00 MARUTI 5.95 0.00
DRREDDY 1.35 0.00 MARUTI 1.15 0.00
DRREDDY 0.1 0.00 MARUTI 6.25 0.00
DRREDDY 0.05 0.00 MARUTI 2.9 0.00
DRREDDY 0.05 0.00 MARUTI 0.9 0.00
DRREDDY 0.15 0.00 MARUTI 1.05 0.00
DRREDDY 0.05 0.00 MARUTI 1.7 0.00
DRREDDY 0.05 0.00 MARUTI 0.05 0.00
DRREDDY 0.05 0.00 MARUTI 0.05 0.00
DRREDDY 1.75 0.00 MARUTI 6.05 0.00
DRREDDY 3.15 0.00 MARUTI 3.8 0.00
DRREDDY 3.05 0.00 MARUTI 4.7 0.00
DRREDDY 1.95 0.00 MARUTI 2.35 0.00
DRREDDY 0.95 0.00 MARUTI 4.65 0.00
DRREDDY 0.25 0.00 MARUTI 2.25 0.00
DRREDDY 0.05 0.00 MARUTI 1.5 0.00
DRREDDY 0.05 0.00 MARUTI 0.6 0.00
DRREDDY 0.05 0.00 MARUTI 0.2 0.00
DRREDDY 0.05 0.00 MARUTI 0.05 0.00
DRREDDY 5.85 0.00 MARUTI 8.85 0.00
DRREDDY 4.4 0.00 MARUTI 6.95 0.00
DRREDDY 1.9 0.00 MARUTI 1.95 0.00
DRREDDY 1.55 0.00 MARUTI 0.95 0.00
DRREDDY 2.95 0.00 MARUTI 0.6 0.00
DRREDDY 0.65 0.00 MARUTI 0.25 0.00
DRREDDY 3.7 0.00 MARUTI 0.15 0.00
DRREDDY 6.95 0.00 MARUTI 0.05 0.00
GRASIM 17.6 0.00 MARUTI 0 0.00
GRASIM 10.45 0.00 MARUTI 4.4 0.00
GRASIM 5.4 0.00 MARUTI 4.6 0.00
GRASIM 10.2 0.00 MARUTI 2.8 0.00
GRASIM 6.3 0.00 MARUTI 1.75 0.00
GRASIM 1.95 0.00 MARUTI 1.65 0.00
GRASIM 1.2 0.00 MARUTI 0.85 0.00
GRASIM 0.45 0.00 MARUTI 0.25 0.00
GRASIM 0.55 0.00 MARUTI 0.1 0.00
GRASIM 0.3 0.00 MARUTI 0.05 0.00
GRASIM 0 0.00 MARUTI 0.15 0.00
GRASIM 0 0.00 MARUTI 0.1 0.00
GRASIM 0.85 0.00 MARUTI 0.1 0.00
GRASIM 0.7 0.00 MARUTI 0.05 0.00
GRASIM 0.1 0.00 MARUTI 0.05 0.00
GRASIM 0.05 0.00 MARUTI 0.05 0.00
GRASIM 7.05 0.00 NTPC 0.2 0.00
GRASIM 2.6 0.00 NTPC 0.2 0.00
GRASIM 1.15 0.00 NTPC 0.3 0.00
GRASIM 0.15 0.00 NTPC 0.2 0.00
GRASIM 11.05 0.00 NTPC 0.3 0.00
GRASIM 0.85 0.00 NTPC 0.25 0.00
GRASIM 1.5 0.00 NTPC 0.2 0.00
GRASIM 79.2 0.00 NTPC 0.25 0.00
GRASIM 40 0.00 NTPC 0.25 0.00
GRASIM 47.7 0.00 NTPC 0.05 0.00
GRASIM 44.85 0.00 NTPC 0 0.00
GRASIM 40.2 0.00 NTPC 0 0.00
GRASIM 34.3 0.00 NTPC 0 0.00
GRASIM 19.15 0.00 NTPC 0 0.00
GRASIM 9.8 0.00 NTPC 0.05 0.00
GRASIM 4.4 0.00 NTPC 0 0.00
GRASIM 0.7 0.00 NTPC 0.05 0.00
GRASIM 1.15 0.00 NTPC 1 0.00
GRASIM 0.4 0.00 NTPC 0 0.00
GRASIM 0.05 0.00 NTPC 0 0.00
GRASIM 0 0.00 NTPC 0 0.00
GRASIM 0 0.00 NTPC 0.45 0.00
GRASIM 0 0.00 NTPC 0.5 0.00
GRASIM 0 0.00 NTPC 0.5 0.00
GRASIM 3.2 0.00 NTPC 0.6 0.00
GRASIM 6.65 0.00 NTPC 0.35 0.00
GRASIM 2.75 0.00 NTPC 0.3 0.00
GRASIM 1.45 0.00 NTPC 0.2 0.00
GRASIM 0.65 0.00 NTPC 0.1 0.00
GRASIM 0.25 0.00 NTPC 0.05 0.00
GRASIM 6.6 0.00 NTPC 0.05 0.00
GRASIM 43.65 0.00 NTPC 0 0.00
GRASIM 36.1 0.00 NTPC 0.05 0.00
GRASIM 54.55 0.00 NTPC 0 0.00
GRASIM 43.05 0.00 NTPC 0 0.00
GRASIM 28.05 0.00 NTPC 0 0.00
GRASIM 25.6 0.00 NTPC 0 0.00
GRASIM 23.6 0.00 NTPC 0 0.00
GRASIM 28.4 0.00 NTPC 0 0.00
GRASIM 30.3 0.00 NTPC 0 0.00
GRASIM 15.2 0.00 NTPC 0 0.00
GRASIM 6.8 0.00 NTPC 0.6 0.00
GRASIM 5.6 0.00 NTPC 0.5 0.00
GRASIM 2.1 0.00 NTPC 0.3 0.00
GRASIM 3.4 0.00 NTPC 0.35 0.00
GRASIM 0.55 0.00 NTPC 0.3 0.00
GRASIM 0 0.00 NTPC 0.3 0.00
GRASIM 0.1 0.00 NTPC 0.35 0.00
GRASIM 0 0.00 NTPC 0.1 0.00
GRASIM 20.9 0.00 NTPC 0.3 0.00
GRASIM 11.7 0.00 NTPC 0 0.00
GRASIM 9.3 0.00 NTPC 0 0.00
GRASIM 3.15 0.00 NTPC 0 0.00
GRASIM 0.95 0.00 NTPC 0 0.00
GRASIM 0.9 0.00 NTPC 0 0.00
GRASIM 5.55 0.00 NTPC 0.1 0.00
GRASIM 4.1 0.00 NTPC 0.2 0.00
GRASIM 4.45 0.00 NTPC 0.05 0.00
GRASIM 7.8 0.00 NTPC 0.05 0.00
GRASIM 0.45 0.00 NTPC 0 0.00
GRASIM 0.25 0.00 NTPC 0 0.00
GRASIM 7.3 0.00 NTPC 0 0.00
GRASIM 2.5 0.00 NTPC 0.05 0.00
GRASIM 0.75 0.00 NTPC 0.4 0.00
GRASIM 1.05 0.00 NTPC 0.7 0.00
GRASIM 0.5 0.00 NTPC 0.6 0.00
GRASIM 0.3 0.00 NTPC 0.4 0.00
GRASIM 0.05 0.00 NTPC 0.35 0.00
GRASIM 32.55 0.00 NTPC 0.3 0.00
GRASIM 27.35 0.00 NTPC 0.2 0.00
GRASIM 20.2 0.00 NTPC 0.2 0.00
GRASIM 14.1 0.00 NTPC 0.15 0.00
GRASIM 7.3 0.00 NTPC 0.1 0.00
GRASIM 6 0.00 NTPC 0.05 0.00
GRASIM 4.15 0.00 NTPC 0 0.00
GRASIM 1.95 0.00 NTPC 0 0.00
GRASIM 3.3 0.00 NTPC 0 0.00
GRASIM 2.8 0.00 NTPC 0 0.00
GRASIM 1.1 0.00 NTPC 0 0.00
GRASIM 0.25 0.00 NTPC 0 0.00
GRASIM 0.2 0.00 NTPC 0 0.00
GRASIM 0.1 0.00 NTPC 0.5 0.00
GRASIM 0.05 0.00 NTPC 0.4 0.00
GRASIM 0 0.00 NTPC 0.25 0.00
GRASIM 0 0.00 NTPC 0.2 0.00
GRASIM 0 0.00 NTPC 0.05 0.00
GRASIM 0 0.00 NTPC 0.05 0.00
GRASIM 15.25 0.00 NTPC 0.05 0.00
GRASIM 16.95 0.00 NTPC 0.05 0.00
GRASIM 10.8 0.00 NTPC 0 0.00
GRASIM 8.4 0.00 NTPC 0 0.00
GRASIM 6.7 0.00 NTPC 0 0.00
GRASIM 6.3 0.00 NTPC 0 0.00
GRASIM 2.2 0.00 NTPC 0.1 0.00
GRASIM 3.05 0.00 NTPC 0.1 0.00
GRASIM 11.65 0.00 NTPC 0.05 0.00
GRASIM 15.45 0.00 NTPC 0.05 0.00
GRASIM 23.7 0.00 NTPC 0.05 0.00
GRASIM 18.7 0.00 NTPC 0 0.00
GRASIM 9.85 0.00 NTPC 0 0.00
GRASIM 3.75 0.00 NTPC 0 0.00
GRASIM 2.15 0.00 NTPC 0 0.00
GRASIM 4.35 0.00 NTPC 0.2 0.00
GRASIM 0.3 0.00 NTPC 0.2 0.00
GRASIM 0.05 0.00 NTPC 0.15 0.00
GUJAMBCEM 0.8 0.00 NTPC 0.05 0.00
GUJAMBCEM 0.7 0.00 NTPC 0.1 0.00
GUJAMBCEM 0.1 0.00 NTPC 0.05 0.00
GUJAMBCEM 0.1 0.00 NTPC 0.05 0.00
GUJAMBCEM 0.1 0.00 NTPC 0.05 0.00
GUJAMBCEM 0.75 0.00 NTPC 0 0.00
GUJAMBCEM 0 0.00 NTPC 0 0.00
GUJAMBCEM 0.35 0.00 NTPC 1.05 0.00
GUJAMBCEM 0.05 0.00 NTPC 0.8 0.00
GUJAMBCEM 0.15 0.00 NTPC 0.75 0.00
GUJAMBCEM 0.05 0.00 NTPC 0.9 0.00
GUJAMBCEM 0 0.00 NTPC 0.65 0.00
GUJAMBCEM 0.05 0.00 NTPC 0.25 0.00
GUJAMBCEM 0.05 0.00 NTPC 0.15 0.00
GUJAMBCEM 0.65 0.00 NTPC 0.1 0.00
GUJAMBCEM 0.35 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.15 0.00 ONGC 0 0.00
GUJAMBCEM 0 0.00 ONGC 2.95 0.00
GUJAMBCEM 0.1 0.00 ONGC 0.7 0.00
GUJAMBCEM 0.15 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.15 0.00 ONGC 0.05 0.00
GUJAMBCEM 0 0.00 ONGC 0 0.00
GUJAMBCEM 3.05 0.00 ONGC 0.75 0.00
GUJAMBCEM 1.75 0.00 ONGC 1.05 0.00
GUJAMBCEM 1.85 0.00 ONGC 1.4 0.00
GUJAMBCEM 1.75 0.00 ONGC 0.85 0.00
GUJAMBCEM 0.9 0.00 ONGC 0.35 0.00
GUJAMBCEM 0.5 0.00 ONGC 0.35 0.00
GUJAMBCEM 0.35 0.00 ONGC 0.45 0.00
GUJAMBCEM 0.65 0.00 ONGC 0.45 0.00
GUJAMBCEM 0.75 0.00 ONGC 0.3 0.00
GUJAMBCEM 0.35 0.00 ONGC 0.2 0.00
GUJAMBCEM 0.3 0.00 ONGC 0.15 0.00
GUJAMBCEM 0.15 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.15 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.05 0.00 ONGC 8.8 0.00
GUJAMBCEM 0.05 0.00 ONGC 4.7 0.00
GUJAMBCEM 0.1 0.00 ONGC 2.45 0.00
GUJAMBCEM 0.25 0.00 ONGC 2.85 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.05 0.00 ONGC 1.9 0.00
GUJAMBCEM 0.05 0.00 ONGC 2.85 0.00
GUJAMBCEM 0.1 0.00 ONGC 3.75 0.00
GUJAMBCEM 0.05 0.00 ONGC 2.05 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.35 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.5 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.2 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.3 0.00
GUJAMBCEM 1.15 0.00 ONGC 4.7 0.00
GUJAMBCEM 1.25 0.00 ONGC 0.9 0.00
GUJAMBCEM 0.95 0.00 ONGC 0.75 0.00
GUJAMBCEM 0.85 0.00 ONGC 0.85 0.00
GUJAMBCEM 0.05 0.00 ONGC 0.05 0.00
GUJAMBCEM 0.15 0.00 ONGC 16.5 0.00
GUJAMBCEM 0.1 0.00 ONGC 1.55 0.00
HDFC 6.1 0.00 ONGC 0.05 0.00
HDFC 11.45 0.00 ONGC 0 0.00
HDFC 11.7 0.00 ONGC 10.15 0.00
HDFC 9.8 0.00 ONGC 4 0.00
HDFC 13.8 0.00 ONGC 5 0.00
HDFC 11.4 0.00 ONGC 6.5 0.00
HDFC 5.1 0.00 ONGC 6.9 0.00
HDFC 2.05 0.00 ONGC 3.95 0.00
HDFC 0.9 0.00 ONGC 1.5 0.00
HDFC 0.2 0.00 ONGC 0.6 0.00
HDFC 0.05 0.00 ONGC 0.6 0.00
HDFC 0.05 0.00 ONGC 0.4 0.00
HDFC 0.05 0.00 ONGC 0.35 0.00
HDFC 1.2 0.00 ONGC 1.5 0.00
HDFC 0 0.00 ONGC 0.05 0.00
HDFC 0 0.00 ONGC 0.05 0.00
HDFC 24.95 0.00 ONGC 0.15 0.00
HDFC 13.75 0.00 ONGC 0.05 0.00
HDFC 16.8 0.00 ONGC 0 0.00
HDFC 15.6 0.00 ONGC 0 0.00
HDFC 12.75 0.00 ONGC 0 0.00
HDFC 14 0.00 ONGC 0.85 0.00
HDFC 8.9 0.00 ONGC 0.4 0.00
HDFC 8.1 0.00 ONGC 6 0.00
HDFC 3.1 0.00 ONGC 0.3 0.00
HDFC 2.15 0.00 ONGC 2.15 0.00
HDFC 0.4 0.00 ONGC 0.1 0.00
HDFC 0.05 0.00 ONGC 2.25 0.00
HDFC 0.05 0.00 ONGC 0.05 0.00
HDFC 0.05 0.00 ONGC 0.05 0.00
HDFC 21.95 0.00 ONGC 0.05 0.00
HDFC 19.75 0.00 ONGC 0.05 0.00
HDFC 12.3 0.00 ONGC 0 0.00
HDFC 12.9 0.00 ONGC 0 0.00
HDFC 12.35 0.00 ONGC 0 0.00
HDFC 6.7 0.00 ONGC 0 0.00
HDFC 4.15 0.00 ONGC 0 0.00
HDFC 10.9 0.00 ONGC 5.8 0.00
HDFC 5.45 0.00 ONGC 5 0.00
HDFC 6 0.00 ONGC 5.75 0.00
HDFC 8.3 0.00 ONGC 5 0.00
HDFC 5.35 0.00 ONGC 6.5 0.00
HDFC 2.8 0.00 ONGC 3.5 0.00
HDFC 0.95 0.00 ONGC 3 0.00
HDFC 0.75 0.00 ONGC 5.3 0.00
HDFC 0.4 0.00 ONGC 1.75 0.00
HDFC 0.15 0.00 ONGC 2 0.00
HDFC 0 0.00 ONGC 0.4 0.00
HDFC 0 0.00 ONGC 1.5 0.00
HDFC 0 0.00 ONGC 1.4 0.00
HDFC 8.05 0.00 ONGC 0.1 0.00
HDFC 8.05 0.00 ONGC 0.1 0.00
HDFC 7.25 0.00 ONGC 0.05 0.00
HDFC 4.1 0.00 ONGC 0 0.00
HDFC 2.15 0.00 ONGC 0 0.00
HDFC 0.7 0.00 ONGC 5.35 0.00
HDFC 0.25 0.00 ONGC 3.1 0.00
HDFC 0.1 0.00 ONGC 2.6 0.00
HDFC 0.1 0.00 ONGC 3.1 0.00
HDFC 0.1 0.00 ONGC 2.15 0.00
HDFC 0.05 0.00 ONGC 1.05 0.00
HDFC 0 0.00 ONGC 0.4 0.00
HDFC 0 0.00 ONGC 0.2 0.00
HDFC 0 0.00 ONGC 0.05 0.00
HDFC 0 0.00 ONGC 0.1 0.00
HDFC 2.45 0.00 ONGC 0.25 0.00
HDFC 1.5 0.00 ONGC 1.4 0.00
HDFC 0.95 0.00 ONGC 0.6 0.00
HDFC 0.55 0.00 ONGC 0.85 0.00
HDFC 4.55 0.00 ONGC 0.45 0.00
HDFC 5.25 0.00 ONGC 0.5 0.00
HDFC 5.1 0.00 ONGC 0.1 0.00
HDFC 9.25 0.00 ONGC 0 0.00
HDFC 6.15 0.00 RANBAXY 1.5 0.00
HDFC 1.75 0.00 RANBAXY 1.9 0.00
HDFC 0.8 0.00 RANBAXY 1.5 0.00
HDFC 0.8 0.00 RANBAXY 0.75 0.00
HDFC 0.15 0.00 RANBAXY 0.5 0.00
HDFC 0.05 0.00 RANBAXY 0.3 0.00
HDFC 0 0.00 RANBAXY 3.5 0.00
HDFC 0 0.00 RANBAXY 2 0.00
HDFC 0 0.00 RANBAXY 1.8 0.00
HDFC 1.35 0.00 RANBAXY 3 0.00
HDFC 7.45 0.00 RANBAXY 0.25 0.00
HDFC 7 0.00 RANBAXY 0.55 0.00
HDFC 3.9 0.00 RANBAXY 0.65 0.00
HDFC 2.85 0.00 RANBAXY 0.05 0.00
HDFC 1.3 0.00 RANBAXY 0 0.00
HDFC 11.4 0.00 RANBAXY 0 0.00
HDFC 4.05 0.00 RANBAXY 1 0.00
HDFC 1.6 0.00 RANBAXY 1.15 0.00
HDFC 0.8 0.00 RANBAXY 0.15 0.00
HDFC 2.05 0.00 RANBAXY 0.25 0.00
HDFC 1.05 0.00 RANBAXY 0.55 0.00
HDFC 0.35 0.00 RANBAXY 6.9 0.00
HDFC 0.1 0.00 RANBAXY 6.1 0.00
HDFC 0.05 0.00 RANBAXY 5.25 0.00
HDFC 0.8 0.00 RANBAXY 6.65 0.00
HDFC 0.25 0.00 RANBAXY 4.9 0.00
HDFC 0.05 0.00 RANBAXY 3 0.00
HDFC 0 0.00 RANBAXY 1.7 0.00
HDFC 0 0.00 RANBAXY 1.2 0.00
HDFC 0 0.00 RANBAXY 0.85 0.00
HDFC 15.05 0.00 RANBAXY 0.4 0.00
HDFC 16.95 0.00 RANBAXY 0.15 0.00
HDFC 25.4 0.00 RANBAXY 0.05 0.00
HDFC 23 0.00 RANBAXY 0.05 0.00
HDFC 13.2 0.00 RANBAXY 0 0.00
HDFC 12.95 0.00 RANBAXY 0 0.00
HDFC 10.5 0.00 RANBAXY 0 0.00
HDFC 8.75 0.00 RANBAXY 0 0.00
HDFC 4.3 0.00 RANBAXY 0 0.00
HDFC 2.25 0.00 RANBAXY 0 0.00
HDFC 0.35 0.00 RANBAXY 0 0.00
HDFC 0.1 0.00 RANBAXY 0.15 0.00
HDFC 0.05 0.00 RANBAXY 0 0.00
HDFC 0.05 0.00 RANBAXY 0 0.00
HDFC 0 0.00 RANBAXY 8.45 0.00
HDFC 0 0.00 RANBAXY 10.2 0.00
HDFC 0 0.00 RANBAXY 9.45 0.00
HDFC 0 0.00 RANBAXY 6.1 0.00
HDFC 6.3 0.00 RANBAXY 5 0.00
HDFC 10.65 0.00 RANBAXY 5 0.00
HDFC 3.55 0.00 RANBAXY 2.2 0.00
HDFC 2.3 0.00 RANBAXY 1.55 0.00
HDFC 1.35 0.00 RANBAXY 0.4 0.00
HDFC 0.05 0.00 RANBAXY 0.2 0.00
HDFC 0.05 0.00 RANBAXY 0.3 0.00
HDFC 0 0.00 RANBAXY 6 0.00
HDFC 2.7 0.00 RANBAXY 0 0.00
HDFC 0.2 0.00 RANBAXY 0 0.00
HDFC 0.2 0.00 RANBAXY 0 0.00
HDFC 0.3 0.00 RANBAXY 0 0.00
HDFC 4.65 0.00 RANBAXY 0 0.00
HDFC 1.65 0.00 RANBAXY 0.35 0.00
HDFC 0.5 0.00 RANBAXY 1.05 0.00
HDFC 0.2 0.00 RANBAXY 0.45 0.00
HDFC 0.05 0.00 RANBAXY 0.2 0.00
HDFC 0 0.00 RANBAXY 0.1 0.00
HDFC 11.7 0.00 RANBAXY 0.05 0.00
HDFC 8.15 0.00 RANBAXY 0.15 0.00
HDFC 8.45 0.00 RANBAXY 1 0.00
HDFC 5.6 0.00 RANBAXY 0.55 0.00
HDFC 1.3 0.00 RANBAXY 0.6 0.00
HDFC 0.1 0.00 RANBAXY 0.4 0.00
HDFC 0 0.00 RANBAXY 0.2 0.00
HDFC 25.5 0.00 RANBAXY 0.1 0.00
HDFC 16.9 0.00 RANBAXY 0.05 0.00
HDFC 12.1 0.00 RANBAXY 0.05 0.00
HDFC 8.2 0.00 RANBAXY 0.05 0.00
HDFC 4.85 0.00 RANBAXY 0 0.00
HDFC 2.95 0.00 RANBAXY 0 0.00
HDFC 1.45 0.00 RANBAXY 0 0.00
HDFC 0.55 0.00 RANBAXY 0 0.00
HDFC 0.4 0.00 RANBAXY 0 0.00
HDFC 0.8 0.00 RANBAXY 0 0.00
HDFC 1.2 0.00 RANBAXY 0 0.00
HDFC 0.45 0.00 RANBAXY 0 0.00
HDFC 0.2 0.00 RANBAXY 0 0.00
HDFC 0.25 0.00 RANBAXY 1.9 0.00
HDFC 0.2 0.00 RANBAXY 2.15 0.00
HDFC 0.1 0.00 RANBAXY 4.15 0.00
HDFC 0 0.00 RANBAXY 4.35 0.00
HDFC 0 0.00 RANBAXY 3.2 0.00
HDFCBANK 5.4 0.00 RANBAXY 2.6 0.00
HDFCBANK 0.25 0.00 RANBAXY 1 0.00
HDFCBANK 0 0.00 RANBAXY 0.25 0.00
HDFCBANK 0 0.00 RANBAXY 1 0.00
HDFCBANK 0 0.00 REL 1.7 0.00
HDFCBANK 11.4 0.00 REL 1.55 0.00
HDFCBANK 8.9 0.00 REL 1.25 0.00
HDFCBANK 6.05 0.00 REL 0.85 0.00
HDFCBANK 3.55 0.00 REL 0.65 0.00
HDFCBANK 2.95 0.00 REL 0.35 0.00
HDFCBANK 1.05 0.00 REL 0.15 0.00
HDFCBANK 1.9 0.00 REL 0.05 0.00
HDFCBANK 6.95 0.00 REL 0.05 0.00
HDFCBANK 4.55 0.00 REL 0.05 0.00
HDFCBANK 5.75 0.00 REL 0 0.00
HDFCBANK 4.3 0.00 REL 0 0.00
HDFCBANK 3.05 0.00 REL 0.05 0.00
HDFCBANK 1.7 0.00 REL 0 0.00
HDFCBANK 1.8 0.00 REL 0 0.00
HDFCBANK 0.75 0.00 REL 0 0.00
HDFCBANK 0.1 0.00 REL 0.8 0.00
HDFCBANK 0.05 0.00 REL 0.45 0.00
HDFCBANK 0.05 0.00 REL 0.25 0.00
HDFCBANK 1.95 0.00 REL 0.1 0.00
HDFCBANK 0.55 0.00 REL 0.05 0.00
HDFCBANK 0.15 0.00 REL 0.05 0.00
HDFCBANK 0.05 0.00 REL 0.05 0.00
HDFCBANK 0.05 0.00 REL 0.05 0.00
HDFCBANK 0 0.00 REL 0 0.00
HDFCBANK 7.85 0.00 REL 0 0.00
HDFCBANK 2.1 0.00 REL 0 0.00
HDFCBANK 1.65 0.00 REL 2.5 0.00
HDFCBANK 0.65 0.00 REL 0 0.00
HDFCBANK 1.85 0.00 REL 0 0.00
HDFCBANK 0.8 0.00 REL 0 0.00
HDFCBANK 0.1 0.00 REL 1.9 0.00
HDFCBANK 0 0.00 REL 0.7 0.00
HDFCBANK 17.1 0.00 REL 0.55 0.00
HDFCBANK 10.1 0.00 REL 0.3 0.00
HDFCBANK 6.8 0.00 REL 0.3 0.00
HDFCBANK 5.8 0.00 REL 0.35 0.00
HDFCBANK 7.55 0.00 REL 0.1 0.00
HDFCBANK 4.45 0.00 REL 0.05 0.00
HDFCBANK 1.55 0.00 REL 0 0.00
HDFCBANK 0.95 0.00 REL 0 0.00
HDFCBANK 0.8 0.00 REL 0 0.00
HDFCBANK 0.75 0.00 REL 0 0.00
HDFCBANK 0.4 0.00 REL 0 0.00
HDFCBANK 0.1 0.00 REL 0 0.00
HDFCBANK 0.05 0.00 REL 0.15 0.00
HDFCBANK 0 0.00 REL 0.15 0.00
HDFCBANK 0 0.00 REL 0.25 0.00
HDFCBANK 0 0.00 REL 0.1 0.00
HEROHONDA 7.6 0.00 REL 0.05 0.00
HEROHONDA 10.35 0.00 REL 0 0.00
HEROHONDA 8.15 0.00 REL 0.05 0.00
HEROHONDA 10 0.00 REL 0.15 0.00
HEROHONDA 11.45 0.00 REL 0.05 0.00
HEROHONDA 7.95 0.00 REL 0.05 0.00
HEROHONDA 3.7 0.00 REL 0.05 0.00
HEROHONDA 2.2 0.00 REL 0 0.00
HEROHONDA 0.25 0.00 REL 0.45 0.00
HEROHONDA 0.1 0.00 REL 0.25 0.00
HEROHONDA 0.1 0.00 REL 0.2 0.00
HEROHONDA 0.1 0.00 REL 0.1 0.00
HEROHONDA 0 0.00 REL 0.1 0.00
HEROHONDA 2.4 0.00 REL 0.05 0.00
HEROHONDA 1.5 0.00 REL 0.05 0.00
HEROHONDA 0 0.00 REL 0 0.00
HEROHONDA 4.55 0.00 REL 0.6 0.00
HEROHONDA 4.2 0.00 REL 0.4 0.00
HEROHONDA 5.6 0.00 REL 0.2 0.00
HEROHONDA 3.1 0.00 REL 0.1 0.00
HEROHONDA 6.35 0.00 REL 0.05 0.00
HEROHONDA 3.45 0.00 REL 0.05 0.00
HEROHONDA 1.9 0.00 REL 0.9 0.00
HEROHONDA 1.75 0.00 REL 0.35 0.00
HEROHONDA 1.8 0.00 REL 0.15 0.00
HEROHONDA 1.75 0.00 REL 0.15 0.00
HEROHONDA 1.45 0.00 REL 0.15 0.00
HEROHONDA 0.4 0.00 REL 0.1 0.00
HEROHONDA 0.15 0.00 REL 0.05 0.00
HEROHONDA 0.4 0.00 REL 5.15 0.00
HEROHONDA 0.2 0.00 REL 4.2 0.00
HEROHONDA 0.1 0.00 REL 8.6 0.00
HEROHONDA 0.15 0.00 REL 5.85 0.00
HEROHONDA 0.75 0.00 REL 3.35 0.00
HEROHONDA 0.3 0.00 REL 2.65 0.00
HEROHONDA 0.05 0.00 REL 1.7 0.00
HEROHONDA 1.35 0.00 REL 0.05 0.00
HEROHONDA 1.15 0.00 REL 0.1 0.00
HEROHONDA 2.15 0.00 REL 0.05 0.00
HEROHONDA 1.05 0.00 REL 3.35 0.00
HEROHONDA 0.15 0.00 REL 2.5 0.00
HEROHONDA 0.05 0.00 REL 3.05 0.00
HEROHONDA 1.55 0.00 REL 1.9 0.00
HEROHONDA 0.4 0.00 REL 1.6 0.00
HEROHONDA 0.05 0.00 REL 1.6 0.00
HEROHONDA 3.25 0.00 REL 0.65 0.00
HEROHONDA 8.05 0.00 REL 0.25 0.00
HEROHONDA 5.1 0.00 REL 0.1 0.00
HEROHONDA 4.15 0.00 REL 0.05 0.00
HEROHONDA 2.4 0.00 REL 0.05 0.00
HEROHONDA 1.7 0.00 REL 0.05 0.00
HEROHONDA 2.45 0.00 REL 2.8 0.00
HEROHONDA 1.05 0.00 REL 2.35 0.00
HEROHONDA 0.7 0.00 REL 3.45 0.00
HEROHONDA 0.5 0.00 REL 2.2 0.00
HEROHONDA 0.45 0.00 REL 1.65 0.00
HEROHONDA 0.15 0.00 REL 1.05 0.00
HEROHONDA 0.05 0.00 REL 0.35 0.00
HEROHONDA 1.7 0.00 REL 7.5 0.00
HEROHONDA 0.65 0.00 REL 3.55 0.00
HEROHONDA 0.55 0.00 REL 4.8 0.00
HEROHONDA 0.2 0.00 REL 1.05 0.00
HEROHONDA 0.15 0.00 REL 0.65 0.00
HEROHONDA 0.05 0.00 REL 0.55 0.00
HEROHONDA 0.05 0.00 REL 0.35 0.00
HEROHONDA 0.6 0.00 REL 0.15 0.00
HEROHONDA 0.5 0.00 REL 0.05 0.00
HEROHONDA 0.05 0.00 REL 2.65 0.00
HEROHONDA 0.1 0.00 REL 4.1 0.00
HEROHONDA 0.05 0.00 REL 1.9 0.00
HEROHONDA 0.05 0.00 REL 1.45 0.00
HEROHONDA 0.05 0.00 REL 2.55 0.00
HEROHONDA 0.05 0.00 REL 4.1 0.00
HEROHONDA 0.7 0.00 REL 0.05 0.00
HEROHONDA 0.15 0.00 SBIN 4.95 0.00
HEROHONDA 0.05 0.00 SBIN 5.1 0.00
HEROHONDA 0.45 0.00 SBIN 5.5 0.00
HEROHONDA 0.4 0.00 SBIN 9.05 0.00
HEROHONDA 1.9 0.00 SBIN 9.6 0.00
HEROHONDA 2.15 0.00 SBIN 4.8 0.00
HEROHONDA 1 0.00 SBIN 3.55 0.00
HEROHONDA 0.75 0.00 SBIN 4.5 0.00
HEROHONDA 0.15 0.00 SBIN 1.5 0.00
HEROHONDA 0.15 0.00 SBIN 1.05 0.00
HEROHONDA 0.05 0.00 SBIN 1 0.00
HEROHONDA 0.05 0.00 SBIN 0.95 0.00
HEROHONDA 0 0.00 SBIN 0 0.00
HEROHONDA 1.95 0.00 SBIN 1.8 0.00
HEROHONDA 0.8 0.00 SBIN 0.65 0.00
HEROHONDA 0.55 0.00 SBIN 1.45 0.00
HEROHONDA 0.25 0.00 SBIN 1.25 0.00
HEROHONDA 0.1 0.00 SBIN 1.05 0.00
HEROHONDA 0.05 0.00 SBIN 0.9 0.00
HEROHONDA 0.05 0.00 SBIN 0.1 0.00
HEROHONDA 0.65 0.00 SBIN 0.2 0.00
HEROHONDA 0.1 0.00 SBIN 0.05 0.00
HEROHONDA 0.05 0.00 SBIN 0.1 0.00
HEROHONDA 2.25 0.00 SBIN 4.75 0.00
HEROHONDA 0.85 0.00 SBIN 0.35 0.00
HEROHONDA 0.5 0.00 SBIN 0.05 0.00
HEROHONDA 0.15 0.00 SBIN 0.05 0.00
HEROHONDA 0.05 0.00 SBIN 1.75 0.00
HEROHONDA 0.05 0.00 SBIN 0.3 0.00
HEROHONDA 0.05 0.00 SBIN 0.5 0.00
HINDALC0 0.05 0.00 SBIN 0.45 0.00
HINDALC0 0 0.00 SBIN 0.2 0.00
HINDALC0 0 0.00 SBIN 0.15 0.00
HINDALC0 0.7 0.00 SBIN 0.3 0.00
HINDALC0 0.35 0.00 SBIN 0.35 0.00
HINDALC0 0.2 0.00 SBIN 0.2 0.00
HINDALC0 0.05 0.00 SBIN 0.1 0.00
HINDALC0 0.05 0.00 SBIN 0.05 0.00
HINDALC0 0.05 0.00 SBIN 0.05 0.00
HINDALC0 0.05 0.00 SBIN 0.05 0.00
HINDALC0 0 0.00 SBIN 0 0.00
HINDALC0 0.05 0.00 SBIN 0 0.00
HINDALC0 0.05 0.00 SBIN 0 0.00
HINDALC0 0.6 0.09 SBIN 0 0.00
HINDALC0 0.15 0.01 SBIN 0 0.00
HINDALC0 0.05 0.00 SBIN 0 0.00
HINDALC0 4.5 1.84 SBIN 0 0.00
HINDALC0 1.55 0.00 SBIN 0.15 0.00
HINDALC0 1.55 0.01 SBIN 0.05 0.00
HINDALC0 1.1 0.00 SBIN 1.4 0.00
HINDALC0 0.9 0.00 SBIN 0.8 0.00
HINDALC0 1.1 0.00 SBIN 0.9 0.00
HINDALC0 1 0.00 SBIN 0.3 0.00
HINDALC0 0.5 0.00 SBIN 0 0.00
HINDALC0 0 0.00 SBIN 0.05 0.00
HINDALC0 0.9 0.00 SBIN 0 0.00
HINDALC0 2.05 0.00 SBIN 3.65 0.00
HINDALC0 0.95 0.00 SBIN 2.4 0.00
HINDALC0 0.5 0.00 SBIN 1.4 0.00
HINDALC0 0.25 0.00 SBIN 0.55 0.00
HINDALC0 0.15 0.00 SBIN 1.55 0.00
HINDALC0 0.2 0.00 SBIN 0.8 0.00
HINDALC0 2 1.30 SBIN 0.4 0.00
HINDALC0 1.5 1.26 SBIN 0.35 0.00
HINDALC0 4.95 1.45 SBIN 0.4 0.00
HINDALC0 3.6 0.91 SBIN 0.15 0.00
HINDALC0 2.15 0.36 SBIN 0.1 0.00
HINDALC0 2 0.38 SBIN 0.05 0.00
HINDALC0 1.2 0.17 SBIN 0 0.00
HINDALC0 3.35 0.79 SBIN 0.05 0.00
HINDALC0 3.35 0.94 SBIN 1.15 0.00
HINDALC0 1.65 0.28 SBIN 19.4 0.02
HINDALC0 0.45 0.02 SBIN 16.2 0.00
HINDALC0 0.15 0.00 SBIN 14.15 0.00
HINDALC0 0.05 0.00 SBIN 13.85 0.00
HINDALC0 0.15 0.00 SBIN 14.3 0.01
HINDALC0 0.05 0.00 SBIN 4.2 0.00
HINDALC0 0 0.00 SBIN 2.05 0.00
HINDALC0 1.25 0.56 SBIN 1.75 0.00
HINDALC0 1.4 0.72 SBIN 1.75 0.00
HINDALC0 1.1 0.62 SBIN 0.6 0.00
HINDALC0 0.85 0.55 SBIN 1 0.00
HINDALC0 0.5 0.32 SBIN 1 0.00
HINDALC0 0.5 0.38 SBIN 0.9 0.00
HINDALC0 0.6 0.52 SBIN 0.5 0.00
HINDALC0 0.75 0.66 SBIN 0 0.00
HINDALC0 0.5 0.49 TATAMOTORS 4.35 0.00
HINDALC0 0.1 0.15 TATAMOTORS 4 0.00
HINDALC0 0 0.01 TATAMOTORS 0.85 0.00
HINDALC0 0 0.00 TATAMOTORS 0 0.00
HINDLEVER 1.9 0.00 TATAMOTORS 0 0.00
HINDLEVER 1.3 0.00 TATAMOTORS 7.65 0.00
HINDLEVER 0 0.00 TATAMOTORS 1.05 0.00
HINDLEVER 0 0.00 TATAMOTORS 0 0.00
HINDLEVER 0 0.00 TCS 7.65 0.00
HINDLEVER 0 0.00 TCS 17.85 0.00
HINDLEVER 0 0.00 TCS 15 0.00
HINDLEVER 0.05 0.00 TCS 13.85 0.00
HINDLEVER 0.7 0.00 TCS 2.2 0.00
HINDLEVER 0.45 0.00 TCS 1.35 0.00
HINDLEVER 0.5 0.00 TCS 0.5 0.00
HINDLEVER 0.25 0.00 TCS 0.05 0.00
HINDLEVER 0.1 0.00 TCS 0.05 0.00
HINDLEVER 0.05 0.00 TCS 0.05 0.00
HINDLEVER 0.05 0.00 TCS 0.05 0.00
HINDLEVER 0.05 0.00 TCS 0.8 0.00
HINDLEVER 0.05 0.00 TCS 0.15 0.00
HINDLEVER 0.4 0.00 TCS 0.05 0.00
HINDLEVER 0.35 0.00 TCS 0.05 0.00
HINDLEVER 0.2 0.00 TCS 0 0.00
HINDLEVER 0.05 0.00 TCS 8.05 0.00
HINDLEVER 0.05 0.00 TCS 3.75 0.00
HINDLEVER 0 0.00 TCS 28.65 0.00
HINDLEVER 0 0.00 TCS 18.05 0.00
HINDLEVER 0.1 0.00 TCS 0.2 0.00
HINDLEVER 0.05 0.00 TCS 0.05 0.00
HINDLEVER 0.05 0.00 TCS 40 0.00
HINDLEVER 0.05 0.00 TCS 19.9 0.00
HINDLEVER 0.05 0.00 TCS 28.7 0.00
HINDLEVER 0 0.00 TCS 22.75 0.00
HINDLEVER 0 0.00 TCS 18.85 0.00
HINDLEVER 0 0.00 TCS 11.95 0.00
ICICIBANK 1.9 0.00 TCS 19.55 0.00
ICICIBANK 1.25 0.00 TCS 11.75 0.00
ICICIBANK 0.45 0.00 TCS 8.1 0.00
ICICIBANK 0.2 0.00 TCS 4.4 0.00
ICICIBANK 0.05 0.00 TCS 2.1 0.00
ICICIBANK 0.05 0.00 TCS 2.15 0.00
ICICIBANK 0 0.00 TCS 0.7 0.00
ICICIBANK 1.95 0.00 TCS 0.3 0.00
ICICIBANK 1.1 0.00 TCS 0.3 0.00
ICICIBANK 4.8 0.00 TCS 0.05 0.00
ICICIBANK 2.5 0.00 TCS 0 0.00
ICICIBANK 1.8 0.00 TCS 22.85 0.00
ICICIBANK 0.7 0.00 TCS 21.85 0.00
ICICIBANK 0.45 0.00 TCS 23.4 0.00
ICICIBANK 0.25 0.00 TCS 7.5 0.00
ICICIBANK 0.7 0.00 TCS 6.5 0.00
ICICIBANK 6.85 0.00 TCS 16.6 0.00
ICICIBANK 6.85 0.00 TCS 11.95 0.00
ICICIBANK 2.2 0.00 TCS 0.75 0.00
ICICIBANK 1.25 0.00 TCS 1.15 0.00
ICICIBANK 1.8 0.00 TCS 0.25 0.00
ICICIBANK 2.95 0.00 TCS 0.05 0.00
ICICIBANK 1.3 0.00 TCS 0.05 0.00
ICICIBANK 1.1 0.00 TCS 0.2 0.00
ICICIBANK 0.45 0.00 TCS 0.25 0.00
ICICIBANK 4 0.00 TCS 0 0.00
ICICIBANK 0.15 0.00 TCS 4.6 0.00
ICICIBANK 2.1 0.00 TCS 6.7 0.00
ICICIBANK 0.05 0.00 TCS 5.5 0.00
ICICIBANK 1.1 0.00 TCS 0.55 0.00
ICICIBANK 0.2 0.00 TCS 1.3 0.00
ICICIBANK 5.15 0.00 TCS 0.3 0.00
ICICIBANK 3.1 0.00 TCS 0.1 0.00
ICICIBANK 3.9 0.00 TCS 0.05 0.00
ICICIBANK 3.9 0.00 TCS 0.1 0.00
ICICIBANK 5.45 0.00 TCS 0.05 0.00
ICICIBANK 2.25 0.00 TCS 0.05 0.00
ICICIBANK 0.55 0.00 WIPRO 2 0.00
ICICIBANK 1.5 0.00 WIPRO 0.1 0.00
ICICIBANK 0 0.00 WIPRO 5.8 0.00
ICICIBANK 2.55 0.00 WIPRO 11.25 0.00
ICICIBANK 14.15 0.00 WIPRO 5.35 0.00
ICICIBANK 11.95 0.00 WIPRO 2.45 0.00
ICICIBANK 3 0.00 WIPRO 0 0.00
INFOSYSTCH 40 0.00 WIPRO 5.6 0.00
INFOSYSTCH 17.55 0.00 WIPRO 4.05 0.00
INFOSYSTCH 7.2 0.00 WIPRO 3 0.00
INFOSYSTCH 5 0.00 WIPRO 0 0.00
INFOSYSTCH 14.7 0.00 SATYAMCOMP 6.6 0.00
INFOSYSTCH 14 0.00 SATYAMCOMP 4 0.00
INFOSYSTCH 9 0.00 SATYAMCOMP 3.9 0.00
INFOSYSTCH 2.05 0.00 SATYAMCOMP 2 0.00
ITC 0.6 0.00 SATYAMCOMP 0 0.00
ITC 1.05 0.05 SATYAMCOMP 5.15 0.00
ITC 0.65 0.02 SATYAMCOMP 3.5 0.00
ITC 0.8 0.01 SATYAMCOMP 2.1 0.00
ITC 0.45 0.00 SATYAMCOMP 0.55 0.00
ITC 0.4 0.00 SATYAMCOMP 0.05 0.00
ITC 0.25 0.00 SATYAMCOMP 2.75 0.00
ITC 0.25 0.00 SATYAMCOMP 3.5 0.00
ITC 0.1 0.00 SATYAMCOMP 2.25 0.00
ITC 0.05 0.00 SATYAMCOMP 3.9 0.00
ITC 0 0.00 SATYAMCOMP 0.45 0.00
ITC 0 0.00 SATYAMCOMP 1 0.00
ITC 0 0.00 SATYAMCOMP 2 0.00
ITC 2.75 0.01 SATYAMCOMP 0.6 0.00
ITC 1.35 0.00 SATYAMCOMP 0.25 0.00
ITC 1.15 0.00 SATYAMCOMP 0.05 0.00
ITC 1.1 0.00 SATYAMCOMP 0.35 0.00
ITC 1.15 0.00
ITC 0.9 0.00
ITC 1.15 0.00
ITC 0.7 0.00
ITC 0.4 0.00
ITC 0.1 0.00
ITC 0 0.00
ITC 5.55 0.16
ITC 5 0.16
ITC 4.5 0.11
ITC 3.65 0.05
ITC 3.15 0.02
ITC 2.4 0.01
ITC 2 0.00
ITC 1.65 0.00
ITC 0.9 0.00
ITC 0.9 0.00
ITC 1.4 0.00
ITC 0.65 0.00
ITC 0.85 0.00
ITC 1.05 0.00
ITC 0.25 0.00
ITC 0.2 0.00
ITC 0 0.00
ITC 0.4 0.00
ITC 0.5 0.00
ITC 0.2 0.00
ITC 0.1 0.00
ITC 0.05 0.00
ITC 0.05 0.00
ITC 0.3 0.00
ITC 5.35 0.03
ITC 2 0.00
ITC 4.75 0.02
ITC 0.7 0.00
ITC 1 0.00
ITC 0.65 0.00
ITC 0.5 0.00
ITC 0.65 0.00
ITC 0.6 0.00
ITC 0.6 0.00
ITC 0.25 0.00
ITC 0.1 0.00
ITC 0.05 0.00
ITC 0.45 0.00
ITC 0.05 0.00
ITC 0 0.00
ITC 0.05 0.00
ITC 0 0.00
ITC 0.75 0.00
ITC 0.8 0.00
ITC 0.5 0.00
ITC 0.45 0.00
ITC 0.45 0.00
ITC 0.5 0.00
ITC 0.65 0.01
ITC 0.7 0.00
ITC 0.45 0.00
ITC 0.8 0.00
ITC 0.75 0.00
ITC 0.6 0.00
ITC 0.5 0.00
ITC 0.4 0.00
ITC 0.3 0.00
ITC 0.2 0.00
ITC 0.2 0.00
ITC 0.15 0.00
ITC 0.1 0.00
ITC 0.15 0.00
ITC 0.1 0.00
ITC 2.3 0.21
ITC 2.3 0.18
ITC 1.65 0.07
ITC 1.75 0.10
ITC 1.15 0.03
ITC 1.2 0.05
ITC 0.9 0.00
ITC 0.95 0.00
ITC 0.65 0.00
ITC 0.7 0.00
ITC 0.75 0.00
ITC 0.8 0.00
ITC 0.4 0.00
ITC 0.45 0.00
ITC 0.4 0.00
ITC 0.15 0.00
ITC 0.15 0.00
ITC 0 0.00
ITC 0.05 0.00
ITC 0.15 0.00
ITC 0.1 0.00
ITC 0.05 0.00
ITC 0.5 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0.7 0.00
ITC 0.75 0.00
ITC 0.55 0.00
ITC 0.75 0.00
ITC 0.8 0.00
ITC 0.6 0.00
ITC 0.25 0.00
ITC 0.4 0.00
ITC 0.4 0.00
ITC 0.4 0.00
ITC 0.05 0.00
ITC 0.05 0.00
ITC 0.4 0.00
ITC 0.25 0.00
ITC 0.05 0.00
ITC 0.15 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0.15 0.00
ITC 0.1 0.00
ITC 0.8 0.00
ITC 1.2 0.00
ITC 0.95 0.00
ITC 0.85 0.00
ITC 0.65 0.00
ITC 0.45 0.00
ITC 0.45 0.00
ITC 0.2 0.00
ITC 0.3 0.00
ITC 0.05 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0.05 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0 0.00
ITC 0 0.00

Amar Sohal 0508 Black Scholes Model

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Amar Sohal 0508 Black Scholes Model

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Black-Scholes Model:

Test of Efficiency for American Call

A DISSERTATION SUBMITTED IN PARTIAL FULFILLMENT OF

Under the guidance

M.P.Birla Institute of Management,

Place: Bangalore (AMARPAL SOHAL)

Date: Reg. no. 05XQCM6008

This is to certify that the Project titled “BLACK-SCHOLES MODEL: TEST OF

Place: Bangalore Dr. NAGESH MALAVALLI

This is to certify that the Project titled “BLACK-SCHOLES MODEL: TEST OF

I am thankful to Dr. NAGESH MALAVALLI, Principal, M.P.Birla Institute of

I am greatly thankful to Prof. T.V. Narasimha Rao (Finance), Prof. Santhanam

4. Data analysis and Interpretation

5. Discussions and conclusions

Objectives of the study

Limitations of the study

The study is limited to 21 companies options only

Introduction to Derivatives The origin of derivatives can be traced back to

1 A security derived from a debt instrument, share, loan whether secured or

Products, participants and functions

1 Hedgers: The farmer’s example that we discussed about was a case of

Derivative products initially emerged as hedging devices against fluctuations

Derivative markets can broadly be classified as commodity derivative market and

Spot versus forward transaction

Exchange traded versus OTC derivatives

Some commonly used derivatives

Forwards: As we discussed, a forward contract is an agreement between two

Futures: A futures contract is an agreement between two parties to buy or sell

Baskets: Basket options are options on portfolios of underlying assets. The

Currency swaps: These entail swapping both principal and interest

In this section, we look at another interesting derivative contract, namely options.

Commodity options: Commodity options are options with a commodity

Black–Scholes model Robert C. Merton was the first to publish a paper

The key assumptions of the Black–Scholes model are:

a) Study Type: The study type is analytical, quantitative and historical.

b) Study population: population is the entire Options market.

c) Sampling frame: Sampling Frame would be Indian stock Options market.

d) Sample: Sample chosen is options of 21 companies from Nifty 50 for the

e) Sampling technique: Deliberate sampling is used because only particular

Data gathering procedures and instruments:

Data: Historical options prices and information about underlying stock’s

Data Source: Historical options prices and Historical daily prices of

1 Dr. Reddy's Laboratories Ltd.

Data Analysis and

The Risk-Free rate of interest is taken at 7.5% as interest on government

Table No.2: NO of Options per company

Observed market prices were used to determine annualized implied standard

Black-Scholes Call Price

Black-Scholes Call Price

2. The standard deviation implied by call option transaction prices is lower.

1. 0. Barone-Adesj. “Maximum Likelihood Tests of Option Pricing Models”

2. and R. E. Whaley. Efficient Analytic Approximation of American Option

5. R. Geske and K. Shastri. ‘Valuation by Approximation: A Comparison of

6. R. C. Merton. ‘The Theory of Rational Option Pricing.” Bell Journal of

7. R. F. Whaley, “Valuation of American Call Options on Dividend-Paying Stocks:

8. . “On Valuing American Futures Options.” Financial Analysts Journal

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