Produced by Sujoy Ghosh, the Hindi film is the first movie for which the doors of the Victorian-era Writers' Buildings have been opened for shooting.
Balan, 37, was seen shooting with actor Nawazuddin Siddiqui inside the brick-red edifice, where megastar Amitabh Bachchan will also come on Friday to shoot.
"I wanted to shoot inside this building for a long time. Now this wish has been fulfilled," Balan told reporters.
Besides "Parineeta", the superhit "Kahaani" was shot in the city.