Empirical tests of boundary conditions for NSE options

dc.contributor.advisor	Sinha, Sidharth
dc.contributor.author	Kumar, Ram S.
dc.contributor.author	Narayan, Tulsi
dc.date.accessioned	2018-10-09T06:30:30Z
dc.date.available	2018-10-09T06:30:30Z
dc.date.copyright	2002
dc.date.issued	2002
dc.identifier.uri	http://hdl.handle.net/11718/21070
dc.description.abstract	In this paper the lower boundary conditions for traded call options are derived and subjected to empirical testing. A null hypothesis is formulated based on the theoretical conditions and tested using data on call options traded on the National Stocked exchange. The hypothesis argues that the stock and options markets are well synchronized so that simultaneous closing prices are within theoretical boundaries. The evidence in the ex-post-tests is found to be inconsistent with this hypothesis. But this may not reflect market inefficiency - only ex-ante tests can show whether the arbitrage opportunities can be tapped.	en_US
dc.language.iso	en	en_US
dc.publisher	Indian Institute of Management Ahmedabad	en_US
dc.relation.ispartofseries	SP;000913
dc.subject	NSE options	en_US
dc.title	Empirical tests of boundary conditions for NSE options	en_US
dc.type	Student Project	en_US