Purpose: This paper investigates the dynamic relationship between the trade-weighted dollar exchange rates and the oil prices in the world market. Monthly data during 1980–2017 are used for this purpose. Design/methodology/approach: The symmetric and asymmetric generalized impulse response...

One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets. Since most markets are illquid, this assumption might be too...

Option pricing is an integral part of modern financial risk management. The well-known Black and Scholes (1973) formula is commonly used for this purpose. This paper is an attempt to extend their work to a situation in which the unconditional volatility of the original asset is increasing during...

Risk management in financial derivative markets requires inevitably the calculation of price sensitivities. The literature contains an abundant amount of research works on these important values. Most of these works consider the well-known Black and Scholes model where the volatility is assumed...