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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.
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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