Analysing intraday implied volatility for pricing currency options / Thi Le.
2021
HG3853
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Online Access
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Unlimited
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Can lend chapters, not whole ebooks
Details
Title
Analysing intraday implied volatility for pricing currency options / Thi Le.
ISBN
9783030712426 (electronic bk.)
3030712427 (electronic bk.)
9783030712419
3030712419
3030712427 (electronic bk.)
9783030712419
3030712419
Published
Cham : Springer, [2021]
Language
English
Description
1 online resource
Other Standard Identifiers
10.1007/978-3-030-71242-6 doi
Call Number
HG3853
Dewey Decimal Classification
332.4/5
Summary
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.
Note
Originally presented as the author's thesis (Ph. D.)--Murdoch Business School, Murdoch University.
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed April 27, 2021).
Series
Contributions to finance and accounting. 2730-6038
Available in Other Form
Print version: 9783030712419
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Table of Contents
Chapter 1. Introduction of Thesis
Chapter 2. Literature Review
Chapter 3. Methodology and Data
Chapter 4. Implied Volatility Forecasting Realized Volatility
Chapter 5. Implied Volatility Estimating Currency Options Price
Chapter 6. Conclusion of Thesis.
Chapter 2. Literature Review
Chapter 3. Methodology and Data
Chapter 4. Implied Volatility Forecasting Realized Volatility
Chapter 5. Implied Volatility Estimating Currency Options Price
Chapter 6. Conclusion of Thesis.