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Comparative study of bullish option payoffs in USD-INR market

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Avneet Kaur, Sandeep Kapur and Mohit Gupta

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Indian Journal of Economics and Development
Year : 2018, Volume : 14, Issue : 2
First page : ( 252) Last page : ( 259) 
Print ISSN : 2277-5412. Online ISSN : 2322-0430.
Article DOI : 10.5958/2322-0430.2018.00127.0

Comparative Study of Bullish Option Payoffs in USD-INR Market

Kaur Avneet1, Kapur Sandeep2, Gupta Mohit3,*

1Research Scholar, School of Business Studies Punjab Agricultural University, Ludhiana-141004

2Professor, School of Business Studies Punjab Agricultural University, Ludhiana-141004

3Assistant Professor, School of Business Studies Punjab Agricultural University, Ludhiana-141004

*Corresponding author’s email: mgupta@pau.edu

JEL Codes G11, G13, G15, M16, N25.

Online published on 22 June, 2018.

Abstract

Empirical literature lacks in quantum of studies on option payoffs especially in context of Indian foreign exchange contracts. This study fills this gap and tried to assess the bullish option payoffs with underlying USD-INR contract. The study was done for a period of 68 months from October 2010 to June 2016. Three bullish option strategies namely long call, short put and covered call were applied and their payoffs were assessed for different moneyness. In addition strategies were also compared using multiple comparison tests. Although no statistically significant differences were recorded when compared for different moneyness in the respective strategy, but in comparison between the strategies, long call was found to be a outperformer and the result is statistically significant.

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