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Analysing intraday implied volatility for pricing currency options / Thi Le.

9783030712426 (electronic bk.)
3030712427 (electronic bk.)
9783030712419
3030712419

Cham : Springer, [2021]

English

1 online resource

10.1007/978-3-030-71242-6 doi

HG3853

332.4/5

This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

Originally presented as the author's thesis (Ph. D.)--Murdoch Business School, Murdoch University.

Includes bibliographical references.

Access limited to authorized users.

Online resource; title from PDF title page (SpringerLink, viewed April 27, 2021).

Contributions to finance and accounting. 2730-6038

Print version: 9783030712419

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