Gold Coin Option Contracts in Iran an Examination of Variance Risk premium

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Mirzaee Badizy Vahid; BEHRADMEHR NAFISEH

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Journal: Financial Economics Year:2019 | Volume:13 | Issue:46 Page(s): 145-159

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Information Journal Paper

Title

Gold Coin Option Contracts in Iran an Examination of Variance Risk premium

Author(s)

Mirzaee Badizy Vahid | BEHRADMEHR NAFISEH | Issue Writer Certificate

Keywords

Black-ScholesQ1

Volatility risk premiumQ1

Gold coin options market JEL Classification:G14Q1

G17Q1

G20Q1

Abstract

In this study, it is checked if put-call parity exists in 8 gold coin option contracts. According to the results, put-call parity does not exist between 6 contracts and there is not arbitrage opportunity. In the next step, these 8 option contracts have been evaluated, using Black-Scholes formula. Realized and implied volatility have been extracted from historical data and Black-Scholes formula, respectively, using numerical methods and algorithms. Volatility risk premium in 7 contracts is stationary according to stationarity test results. Correlation coefficient between excess return and Volatility risk premium is negative for all considered contracts in gold coin options market. It means that there is a negative relationship between Volatility risk premium and excess return. The more realized volatility of market will get greater than implied volatility, the more gold coin return increases in spot market. Due to increasing gold coin price in spot market, put option price decreases in options market. So it will not be suggested investing in put options, under these circumstances.

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APA: Copy

Mirzaee Badizy, Vahid, & BEHRADMEHR, NAFISEH. (2019). Gold Coin Option Contracts in Iran an Examination of Variance Risk premium. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), 13(46 ), 145-159. SID. https://sid.ir/paper/229198/en

Vancouver: Copy

Mirzaee Badizy Vahid, BEHRADMEHR NAFISEH. Gold Coin Option Contracts in Iran an Examination of Variance Risk premium. JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT)[Internet]. 2019;13(46 ):145-159. Available from: https://sid.ir/paper/229198/en

IEEE: Copy

Vahid Mirzaee Badizy, and NAFISEH BEHRADMEHR, “Gold Coin Option Contracts in Iran an Examination of Variance Risk premium,” JOURNAL OF FINANCIAL ECONOMICS (FINANCIAL ECONOMICS AND DEVELOPMENT), vol. 13, no. 46 , pp. 145–159, 2019, [Online]. Available: https://sid.ir/paper/229198/en

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