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Thirty years of chronic current account deficit 1972—2001: The case of Pakistan

Journal of Harbin Institute of Technology(New Series) 2006年第5期13卷 559-563页

作者： saqib gulzar 惠晓峰 School of Management Harbin Institute of Technology Harbin 150001 China

Pakistan has been suffering from a chronic deficit in the current account for many decades. Current account deficit strengthens the foreign currency against the home currency which makes imports of good and services more expensive as compared to exports and causes devaluation of home currency. The main objective of this paper is to find out how the current account deficit is influenced by different economic factors. Our regression model’s estimated results indicate that the percentage change in the volume of imports, foreign direct investments and total consumption are positively correlated and, on the other hand, exports, workers remittance, growth in agriculture and manufacturing are negatively correlated with the current account balance of Pakistan during the observed period 1972-2001.

关键词：国际收支经常项目逆差货币贬值外国直接投资消费巴基斯坦

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Implied volatility estimation of bitcoin options and the stylized facts of option pricing

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Financial Innovation 2021年第1期7卷 1508-1537页

作者： Noshaba Zulfiqar saqib gulzar COMSATS University Islamabad-Wah Campus Wah CanttPakistan

The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk *** need for these tools dates back to the market crash of 1987,when investors needed better ways to protect their portfolios through option *** tools provide greater flexibility to trade and hedge volatile swings in Bitcoin prices *** violation of constant volatility and the log-normality assumption of the Black–Scholes option pricing model led to the discovery of the volatility smile,smirk,or skew in options *** stylized facts;that is,the volatility smile and implied volatilities implied by the option prices,are well documented in the option literature for almost all financial *** are expected to be true for Bitcoin options as *** data sets for the study are based on short-dated Bitcoin options(14-day maturity)of two time periods traded on Deribit Bitcoin Futures and Options Exchange,a Netherlandsbased cryptocurrency derivative *** estimated results are compared with benchmark Black–Scholes implied volatility values for accuracy and efficiency *** study has two aims:(1)to provide insights into the volatility smile in Bitcoin options and(2)to estimate the implied volatility of Bitcoin options through numerical approximation techniques,specifically the Newton Raphson and Bisection *** experimental results show that Bitcoin options belong to the commodity class of assets based on the presence of a volatility forward skew in Bitcoin option ***,the Newton Raphson and Bisection methods are effective in estimating the implied volatility of Bitcoin ***,the Newton Raphson forecasting technique converges faster than does the Bisection method.

关键词： Bitcoin options Deribit Bitcoin smile Implied volatility estimation Numerical estimation

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