L. K. Singh

Beyond Black-Scholes: Evidence of Systematic Mispricing in the Indian Options Market and the Case for a Behavioral Pricing Model

This study examines whether Black-Scholes option prices deviate systematically from observed market prices in the Indian equity derivatives market, and whether the pattern of deviation supports a behavioral interpretation. Black-Scholes theoretical prices were computed for 69,372 call-option observations across 47 Nift...