How do I sell Sterlite Industries shares?

I know that Sterlite Industries is now merged with sesa goa. But I still have shares of Sterlite Industires and it is no longer listed on BSE or NSE. How can I sell these shares? Please help.
First, if you holding in physical form, then you have to send the shares for change of company name.
Where am I suppose to send the shares for change of company name? I have and online demant account with ICICI direct. Plz help how can I get rid of these sterlite industries shares.

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