Title
Analysing Intraday Implied Volatility for Pricing Currency Options [electronic resource] / by Thi Le.
Publication
Cham : Springer International Publishing : Imprint: Springer, 2021.
Physical Description
1 online resource (XXVIII, 350 p.) 3 illus.
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
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.
Variant and related titles
Springer ENIN.
Other formats
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Added to Catalog
May 05, 2021
Series
Contributions to Finance and Accounting,
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.
Also listed under
SpringerLink (Online service)