ANALYSIS OF POWER EXCHANGE OPTION VALUE OF DOLLAR BASE ON GOLD BY USING OF TIME SERIES

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Rahmani Morteza; TARI MARZABAD ABOLFAZL; ALEMOHAMMAD SEYEDEH NAFISEH; MORADZADEH TAHEREH

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2018 | Volume:9 | Issue:34 Page(s): 51-67

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Title

ANALYSIS OF POWER EXCHANGE OPTION VALUE OF DOLLAR BASE ON GOLD BY USING OF TIME SERIES

Author(s)

Rahmani Morteza | TARI MARZABAD ABOLFAZL | ALEMOHAMMAD SEYEDEH NAFISEH | MORADZADEH TAHEREH | Issue Writer Certificate

Keywords

POWER EXCHANGE OPTIONQ1

TIME SERIESQ1

AUTO REGRESSIVE CONDITIONAL HETEROSCEDASTICITY MODELQ1

Abstract

In this paper, we first present the pricing equation for American and European type of standard and POWER EXCHANGE OPTIONs. Then we tested 501 price of gold and dollar from first day of Persian month Farvardin of year 1391 to the first day of Persian month Tir of year 1394, by using TIME SERIES and ARCH, GARCH, MAR-ARCH, ARMA-GARCH, GJR-GARCH models in order to determines power of assets exchange to calculate value of POWER EXCHANGE OPTION dollar on base of gold in near future.Finally, by comparing the mean square error of observation and conditional variance by considering AIC and BIC measures, we choose an appropriate model of above models. Also Christoffersen and Kupiec, as an appropriate model tests are used for forecasting and analysis the behavior of gold and dollar power option pricing.

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APA: Copy

Rahmani, Morteza, TARI MARZABAD, ABOLFAZL, ALEMOHAMMAD, SEYEDEH NAFISEH, & MORADZADEH, TAHEREH. (2018). ANALYSIS OF POWER EXCHANGE OPTION VALUE OF DOLLAR BASE ON GOLD BY USING OF TIME SERIES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 9(34 ), 51-67. SID. https://sid.ir/paper/197566/en

Vancouver: Copy

Rahmani Morteza, TARI MARZABAD ABOLFAZL, ALEMOHAMMAD SEYEDEH NAFISEH, MORADZADEH TAHEREH. ANALYSIS OF POWER EXCHANGE OPTION VALUE OF DOLLAR BASE ON GOLD BY USING OF TIME SERIES. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2018;9(34 ):51-67. Available from: https://sid.ir/paper/197566/en

IEEE: Copy

Morteza Rahmani, ABOLFAZL TARI MARZABAD, SEYEDEH NAFISEH ALEMOHAMMAD, and TAHEREH MORADZADEH, “ANALYSIS OF POWER EXCHANGE OPTION VALUE OF DOLLAR BASE ON GOLD BY USING OF TIME SERIES,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 9, no. 34 , pp. 51–67, 2018, [Online]. Available: https://sid.ir/paper/197566/en

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