This study examines whether corporate capital structure reduces agency costs and increases firm economic performance in Bangladesh, an emerging economy. By using two measures of agency cost, expense ratio and asset utilization ratio (or asset-turnover ratio), as well as two measures of...

The implied volatility (IV) is widely believed to be the best measure of exchange rate volatility. Despite its widespread usage, the IV approach suffers from an obvious chicken-egg problem: obtaining an unbiased IV requires the options to be priced correctly and calculating option prices...

Implied volatility (IV) is widely used in pricing options because traders believe that IV is the best predictor of exchange rate volatility. The Philadelphia Stock Exchange offers a continuous series of strike price options that can expire on more than one maturity date. This leads to the...

This book includes the materials from author’s PhD thesis. In the past three decades, the use of foreign currency options has increased exponentially as a hedging tool and for speculative purposes into a major foreign exchange activity. Increased use of foreign currency options is a reflection...

There is agreement regarding the fundamental role of transaction costs in determining currency options market efficiency. However, the estimation of transaction costs in this relationship is controversial. In this study, a bootstrapping approach is adapted to decompose the error term of the...

This paper presents a general optimization framework to forecast put and call option prices by exploiting the volatility of the options prices. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed...

This paper provides a new test of the efficiency of the currency option markets for four major currencies -- British Pound, Euro, Swiss Frank and Japanese Yen vis-à-vis the U.S. dollar. The approach is to simulate trading strategies to see if the well-accepted no-arbitrage condition of put-call...

While prior studies have shown that emission rights and futures contracts on emission rights are efficiently priced, there are no studies on the efficiency of the options market. Therefore, this study fills the gap. We examine empirical evidence regarding the efficiency of the options market for...

Purpose – The purpose of this paper is to introduce a model to measure foreign exchange (FX) rate volatility accurately. The FX rate volatility forecasting is a crucial endeavour in financial markets and has gained the attention of researchers and practitioners over the last several decades....