Black Scholes Model, Volatility Smiles

And
Option Strategies
On Nifty and Bank-Nifty
Using R

MBA ZG623T: Project Work

Derivative and Risk Management

By

Jay Shukla

2018HB59537

Project Work carried out at

BIRLA INSTITUTE OF TECHNOLOGY & SCIENCE

PILANI (RAJASTHAN)

December 2020
 Birla Institute of Technology & Science, Pilani
Work-Integrated Learning Programmes Division
First Semester 2020-2021

MBA ZG623T Project Work Outline

ID No. : 2018HB59537

NAME OF THE STUDENT : Jay Shukla

EMAIL ADDRESS : 2018HB59537@wilp.bits-pilani.ac.in

STUDENT’S EMPLOYING : MKC Infrastructure, Gandhinagar

ORGANIZATION & LOCATION

SUPERVISOR’S NAME : Mr. Mandeep Sehgal

SUPERVISOR’S EMPLOYING : Toyota Tsusho India Pvt. Ltd.

ORGANIZATION & LOCATION

PROJECT WORK TITLE : Black Scholes Model, Volatility Smiles and

Option Strategies On Nifty and Bank-Nifty
Using R
 Relevance of the project for current working environment

 Individual have an aspiration to be an Option trader and use the learning

from the course as Wealth creation tool for him in future.

As I am about to join a new organization which I happened due to COVID

layoff, it is quite difficult to find a project relevant for an organization
where I am yet to join.

Also the Derivative strategies are quite useful for individuals in hedging
the risk for commodity and currency both particularly a company who is
a consumer of petroleum products and are into international projects as
well

Objectives

 Objective of this study is to implement Black Scholes Model, Volatility

Smiles and Option Strategies on Nifty and Bank-Nifty Using R.

Scope of Work (to be done by the student independently)

 Collection of Option data from NSE website or any other available

sources.
 Creating a model for the study.
 Analyzing the entire data to calculate various Greeks.
 Preparing and visualizing various option strategies used for hedging,
namely:
o Bull Spread
o Bear Spread
o Butterfly etc.

Plan of Work (Work to be done during the semester)

o Work Initiation after Approval – 4th week of September

o Data Collection and Structuring – 1st week of October
o R programming and Mathematical modeling– 2ndweek of October
o Verification of results and Strategy Visualization – 3rd Week of October
o Review of Project report and submission – 3rd Week of October

Literature References

Financial Derivatives are innovative instruments in the financial market. Derivatives have
a great deal of use in risk management. A judicial use of derivatives in right proportion
enables a corporate manager to minimize risk and optimize return. Basically, there are
four categories of derivatives i.e. Forward, Futures, Options, and Swaps. In India,
futures and options are commonly used. In option derivative, the premium which is paid
by the option holder to the option writer is known as option premium or option price. For
determining the theoretical price of the option, the most appropriate model i.e. Black
Scholes option pricing Model. This option pricing model is well accepted throughout the
world.

Research work which helped -:

https://www.researchgate.net/publication/324860947_A_STUDY_ON_RISK_HEDGING_S
TRATEGY_EFFICACY_OF_OPTION_GREEKS
https://sg.inflibnet.ac.in/bitstream/10603/43088/9/09_chapter%201.pdf

Particulars of the Supervisor and Examiner

SUPERVISOR’S NAME : Mr. Mandeep Sehgal

SUPERVISOR’S EMPLOYING
SUPERVISOR’S EMAIL ADDRESS
EXAMINER’S NAME
EXAMINER’S EMPLOYING
EXAMINER’s EMAIL ADDRESS
: Toyota Tsusho India Pvt. Ltd.
:mandeep@ttipl.co.in
:Mr. Ankit Ahuja
:Toyota Tsusho India Private Ltd, Gurgaon
:ankit@ttipl.co.in