Please use this identifier to cite or link to this item:
https://hdl.handle.net/10356/11504| Title: | Investigation of the distribution and shifts in term structure of volatility | Authors: | Tan, Hui Shan Yan, Pway Yin Ho, Yi Siong |
Keywords: | DRNTU::Business | Issue Date: | 2001 | Abstract: | This paper looks into the distribution of the term structure of the implied volatility on foreign currency options. It investigates the types of volatility curve shifts involved and their magnitudes. Our study focuses on the implied volatilities of OTC currency options. | URI: | http://hdl.handle.net/10356/11504 | Schools: | Nanyang Business School | Rights: | Nanyang Technological University | Fulltext Permission: | restricted | Fulltext Availability: | With Fulltext |
| Appears in Collections: | NBS Student Reports (FYP/IA/PA/PI) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| NBS-REPORTS_794.pdf Restricted Access | 1.21 MB | Adobe PDF | View/Open |
Page view(s)
458
Updated on Mar 27, 2025
Download(s)
3
Updated on Mar 27, 2025
Google ScholarTM
Check
Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.