This paper studies the effect of using a variation of the Black-Scholes model (suggested by Corrado & Sue incorporating non-normal skewness and kurtosis) to price call options on S&P CNX Nifty. The results strongly suggest that incorporating skewness and kurtosis into the option pricing formula yields values much closer to market prices. Based on this result and the fact that this approach does not add any further complexities to the option pricing formula, we suggest that this modified approach should be considered a better alternative.

The paper presents a methodology to compute cooling load in the presence of uncertainties in the weather conditions and imprecise information. Fuzzy set theory is used for the estimation of cooling load. Maximum and minimum temperature of the day, humidity, and the number of occupants are treated as fuzzy parameters to calculate cooling load using fuzzy arithmetic. This provides cooling load as a fuzzy parameter. Then a method is proposed to defuzzify it based on the user requirement.

In this paper, I propose a new approach to measure ‘true opacity’ as a latent variable based on the MIMIC model of Joreskog and Goldberger (1975). The MIMIC model assumes that the latent opacity is caused by the type of bank assets (i.e., types of loans, trading assets, etc.) and banks’ information environment (i.e., number of analysts covering banks and number of 8-K filings). In addition, market microstructure variables are used as proxies for indicators of opacity. Using the latent opacity computed from the MIMIC model and regression discontinuity design (‘RDD’), I study the impact of stress tests on the opacity of banks. I find that the opacity of mid-size banks ($10B<Assets<$50B) performing bank-run stress tests increased significantly for the period they were not required to disclose the results to the public. The findings suggest that stress tests generate valuable information about the banks, and non-disclosure of the results to the public increased bank opacity. Therefore, the lack of public disclosure of the stress test results increased adverse selection problems in banks.