S.

No

Author and Year Bibliography

S. McKenzie, D Gerace,
Z Subedar (2007)

2 Dr. S. K. Mitra

Matloob Ullah Khan,

Ambrish Gupta, Sadaf
3 Siraj
4 Dr.Sarbapriya Ray

The Australasian Accounting

Business & Finance Journal,
December, 2007, AN EMPIRICAL
INVESTIGATION OF THE BLACKSCHOLES MODEL: EVIDENCE
FROM THE AUSTRALIAN STOCK
EXCHANGE

Global Journal of Management

and Business Research, Volume
12 Issue 3 Version 1.0 March 2012

International Journal of Economics

and Financial Issues, Vol. 3, No.
1, 2013, pp.87-98 ISSN: 21464138
Journal of Science (JOS) Vol. 2, No.
4, 2012, ISSN 2324-9854

Type of report context

Objective

To empirically examine the

accuracy and statistical
significance of the
factors within the BlackScholes model, with evidence
from the ASX.

Empirical Study

AUSTRALIAN
STOCK
EXCHANGE

Empirical Study

To empirically compare the

National Stock
Actual prices of Nifty Option
Exchange, F &
using Black's Model and B-S-M
O Market
Model.

Empirical Study

Incorporate modification in
Black-Scholes option pricing
National Stock
model formula by adding some
Exchange, F &
new variables on the basis of
O Market
given assumption related to
risk-free interest rate

Empirical Study

Place of study

Austrailian Stock Exchange ASX 200 Index

National Stock Exchange

National Stock Exchange

Population Sample Methodology

Secondary data
from for Option
contracts was
gathered from SIRCA
159
from Feb 2003- Feb
2007, Risk free rate
was - The Govt 90
Days T -Bill market,

Secondary data
from Nifty Option
from July 2008 June 2011 was
considered for the
study and the risk
29724 free rate was MIBOR

10

methodology of data collected

Tools

Econometric - time series analysis

qualitative regression;
logit and probit models;
and a maximum
likelihood approach.

Econometric - time series analysis

Black' Model and B-S-M

Model was used.

Econometric - time series analysis

5 SITUATONAL Analysis
were carried out to test
the MBSM

Findings

Your Comments

Important points

The Black Scholes model is relatively

accurate. Comparing the qualitative
regression models provides evidence
that the Black Scholes model is
significant at the 1% level in
estimating the probability of an
The use of implied
option being exercised.
volatility and a jumpThe results based on a
The paper was focused
diffusion approach,
method of maximum likelihood
on exchange traded,
improves the statistical
indicate that the factors of the
European call option
significance of the
Black-Scholes collectively are
Black-Scholes model.
statistically significant.
Black-Scholes model under the use
of implied volatility is superior to
other volatilities

total error in Black model was less

than that of B-s-M Model

In all the 5 situational analysis

carried out, the OBSM cannot be
replaced with MBSM. Also there is
strong correlation between MBSM
and OBSM

Effectiveness of the
model was tested using
Though the use of
Black-Scholes model is pared T-test
popular, the model does
not exactly fit into the
real life situations

Modification of the BSM

Interest rate (RoR)
was tested by replacing
component in case of
only I out of 5 attributes
BSM cannot be replaced of BSM
by any other format of
yield curve

key words