EVALUATION OF THE CREDIBILITY OF BLACK-SCHOLES OPTION PRICING MODEL DURING TURBULENT AND NORMAL DAYS

EVALUATION OF THE CREDIBILITY OF BLACK-SCHOLES OPTION PRICING MODEL DURING TURBULENT AND NORMAL DAYS

Registration ID: IJNRD_200191

Published ID: IJNRD2306519

DOI: Click Here to Get

Chukwudi Anderson Ugomma , Nancy O, Onuoha , Comfort Ugochi Nkem

Black-Scholes, Options, Bankruptcy, Pair wise t-test

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.

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"EVALUATION OF THE CREDIBILITY OF BLACK-SCHOLES OPTION PRICING MODEL DURING TURBULENT AND NORMAL DAYS", IJNRD - INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT (www.IJNRD.org), ISSN:2456-4184, Vol.8, Issue 6, page no.f183-f190, June-2023, Available :https://ijnrd.org/papers/IJNRD2306519.pdf

Volume 8 Issue 6, June-2023

Pages : f183-f190

Paper Reg. ID: IJNRD_200191

Published Paper Id: IJNRD2306519

Downloads: 000121128

Research Area: Applied Mathematics

Country: Owerri, Imo, Nigeria

Published Paper PDF: https://ijnrd.org/papers/IJNRD2306519.pdf

Published Paper URL: https://ijnrd.org/viewpaperforall?paper=IJNRD2306519

Journal Name: INTERNATIONAL JOURNAL OF NOVEL RESEARCH AND DEVELOPMENT(IJNRD)

ISSN: 2456-4184 | IMPACT FACTOR: 8.76 Calculated By Google Scholar | ESTD YEAR: 2016

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This work is licensed under a Creative Commons Attribution 4.0 International License and The Open Definition

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