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Given the relatively nascent stage of Derivate Market in India and its crucial role in capital creation, it becomes imperative to address select issues that are faced by market participants in the developing stage of such markets. It is first book of its kind in Indian context on S&P CNX Nifty index options, is a sincere effort in this direction.
Salient Features:
Analysis of the problem using secondary as well as primary data.
Detailing use of two most popular time series models, namely, GARCH and EGARCH models.
Use of index futures market along with the options market to study the integration between the two markets.
About the Author
Alok Dixit is currently working as an Assistant Professor with the Finance & Accounting Area at Indian Institute of Management Lucknow (IIM Lucknow), India. Surendra S Yadav is currently Professor of Finance at the Department of Management Studies, Indian Institute of Technology Delhi (IIT Delhi), India. P K Jain is Professor of Finance & Modi Chair Professor at the Department of Management Studies, Indian Institute of Technology Delhi (IIT Delhi), India.
Table of Contents
Chapter 1 Financial Derivatives
Chapter 2 Equity Options and Risk Management
Chapter 3 Testing Lower Boundary Conditions for the S&PCNX Nifty Index Options
Chapter 4 A Test of Put“Call Parity Relationship on S&P CNXNifty Index Options Market
Chapter 5 Testing the Expectations Hypothesis on the TermStructure of Volatilities Implied by S&P CNX NiftyIndex Options
Chapter 6 Informational Efficiency of Implied Volatilities ofS&P CNX Nifty Index Options
Chapter 7 Survey Analysis and Findings isbn
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