Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/4116
Title: Implied volatility as an estimator or realised volatility an investigation using OTC currency options
Authors: Chew, Chung Han.
Lee, Wee King.
Yong, Cher Wee.
Keywords: DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
Issue Date: 2000
Abstract: Implied volatility in option prices is supposed to be the market's best estimate of future volatility. As such, a number of studies have investigated the performance of implied volatility in forecasting future volatility. However, most of the studies use data derived from exchange-traded options. Our paper sets out to test the performance of implied volatility, derived from OTC currency options, a much larger and liquid market, as a future volatility forecast.
URI: http://hdl.handle.net/10356/4116
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:EEE Theses

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