Exchange-traded currency options are a recent innovation in the Indian financial market and their pricing is as yet unexplored. The objective of this research paper is to empirically compare the pricing performance of two well-known option pricing models -the Black-Scholes-Merton Option Pricing Model (BSM) and Duan"s NGARCH option pricing model -for pricing exchange-traded currency options on the US dollar-Indian rupee during a recent turbulent period. The BSM is known to systematically misprice options on the same underlying asset but with different strike prices and maturities resulting in the phenomenon of the "volatility smile". This bias of the BSM results from its assumption of a constant volatility over the option"s life. The NGARCH option pricing model developed by Duan is an attempt to incorporate time-varying volatility in pricing options. It is a deterministic volatility model which has no closed-form solution and therefore requires numerical techniques for evaluation. In this paper we have compared the pricing performance and examined the pricing bias of both models during a recent period of volatility in the Indian foreign exchange market. Contrary to our expectations the pricing performance of the more sophisticated NGARCH pricing model is inferior to that of the relatively simple BSM model. However orthogonality tests demonstrate that the NGARCH model is free of the strike price and maturity biases associated with the BSM. We conclude that the deterministic BSM does a better job of pricing options than the more advanced time-varying volatility model based on GARCH.
Gold is one of the oldest precious metals known to man and for years it has been valued as a global currency, an investment, a commodity and an object of beauty and India is not an exception to this. India's love affair with gold is timeless spanning over centuries and millennia. With globalisation various investment avenues were made available to investors. However there is difference in the perceptions of the investors. So this paper makes an attempt to understand the factors that influence the buying behavior of Indian retail investors with respect to gold buying. The objectives of the paper are to identify the favorable and unfavorable perception of the consumers towards their belief in Gold buying behavior, towards their Motives behind the Physical gold buying behavior, towards the Risk behind gold buying (both physical gold as well as Paper form -Mutual fund / ETF) behavior and towards gold buying behavior due to various attributes of gold. The results of the study indicate that the ease at the time of purchase and high liquidity has resulted into Gold being highly preferred Investment Avenue as against the others.
This paper is devoted to the useful method of solving the one-dimensional integral equation of Fredholm type. The Mellin transform technique for solving a general fredholm type integral equation with the Յ-function and a generalized polynomial in the kernel is considered. By specializing the coefficients and various parameters in the generalized polynomials and Յ-function, our main theorem would readily yield several results involving simpler kernels.
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