We show that under the Black Scholes assumption the price of an arithmetic average Asian call option with fixed strike increases with the level of volatility . This statement is not trivial to prove and for other models in general wrong. In fact we demonstrate that in a simple binomial model no...

Volatility is a measure of the average yearly changes in the market prices. The high volatility of the oil price has been pivotal in the development of international petroleum exchanges. The low volatility of the gold price is the reason why market participants usually view gold as a wealth...

The cycle of cash conversion relates to the time spread between the value of cash paid for purchases and the cash receipt from turnover. Using the State Bank of Pakistan data, this study introduces the direct and moderating role of the exchange rate, effective through the efficient execution of...

The present study explored the dynamic effects of Exchange rates on BSE Sensex return over a period of April 2002 to March 2017. The study analyzes the long run relationship between exchange rates and BSE Sensex return, and examine short run effect of exchange rates on BSE Sensex return. The...

Over the last two decades, a number of financial disasters have occurred due to failure in risk management procedures. If some, as the Asian financial crisis, had a very much more muted global impact (even though they sent shock waves through global financial markets, the main damage were fairly...

This study is undertaken to determine the relative impacts of the uncertainty of macroeconomic variables on investment and make policy recommendations that may help dampen their fluctuations. In the study, generalized autoregressive conditional heteroscedasticity (GARCH) model was applied in the...

Our aim is to investigate the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (financial services, banking, and insurance) in eight countries, including various European, the US, and China economies, over the period...