An Empirical Analysis of Black-Scholes Option Pricing Model with Specific Refrence to It Stock Options

Abstract

Option pricing is a crucial factor for hedgers as well as speculators in the options market. Black-Scholes model is a widely accepted option pricing model. An attempt is made in this paper to study the relevance of Black-Scholes model in Indian Derivative market with specific reference to select IT stock options. Results of the paired sample T-test revealed that there is no significallt difference between the expected option price calculated thorough Black-Scholes Model and market price of options, in three our of four cases. It can he inferred that model is relevam for IT stocks.