Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7427
Title: Implied volatility asymmetries in currency options.
Authors: Lee, Swee Chee.
Tan, Teck Woon.
Yip, Yew Tong.
Keywords: DRNTU::Business::Finance::Options
Issue Date: 2001
Abstract: Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market.
URI: http://hdl.handle.net/10356/7427
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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