The introduction of Currency Derivatives in India is a landmark decision which is likely to be a boon for importers, exporters and companies with Forex exposure. These Derivative products have a wide scope with their special features tailored to match customer requirements. Black Scholes model, is a mathematical model for pricing an options contract. In particular, the model estimates the variation over time of financial instruments. It assumes these instruments (such as stocks or futures) will have a lognormal distribution of prices.

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Keywords: Volatility, Currency Indices, NSE Derivatives Exchange Rate, Cross Rate, Black Scholes Model.