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|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||Rights:||Nanyang Technological University||Fulltext Permission:||restricted||Fulltext Availability:||With Fulltext|
|Appears in Collections:||NBS Student Reports (FYP/IA/PA/PI)|
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