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An Analytical Study of Option Greeks on Derivative Markets in India

  • Devendra G. Kodwani
Part of the Centre for the Study of Emerging Markets Series book series (CSEM)

Abstract

Derivatives markets in India are in a nascent stage at present. The National Stock Exchange of India (NSE) commenced trading in derivatives with index futures on 12 June 2000. The futures contracts on the NSE are based on S& P (Standard and Poor’s) CNX Nifty (National index of fifty shares); and options and futures on stocks were introduced in July and November 2001 respectively. Before derivatives were introduced in Indian financial markets, there was a localized solution to the need for short-term holdings of securities for the purpose of hedging or speculating. This system was known as badla transaction which essentially involved borrowing securities for a settlement period and squaring up short positions. That system was far from transparent and transaction costs (carry forward or backwardation charges) could sometimes be very high.

Keywords

Option Price Call Option Implied Volatility Strike Price Underlying Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

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Copyright information

© Devendra G. Kodwani 2005

Authors and Affiliations

  • Devendra G. Kodwani

There are no affiliations available

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