Analysing Intraday Implied Volatility for Pricing Currency Options / by Thi Le
(Contributions to Finance and Accounting. ISSN:27306046)
| Publisher | (Cham : Springer International Publishing : Imprint: Springer) |
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| Year | 2021 |
| Edition | 1st ed. 2021. |
| Authors | *Le, Thi author SpringerLink (Online service) |
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| Links to the text | Location | Volume | Call No. | Barcode No. | Status | Comments | ISBN | Printed | Restriction | Reserve |
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| Links to the text | Library Off-campus access |
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OB00162255 | Springer Business and Management eBooks (電子ブック) | 9783030712426 |
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| Material Type | E-Book |
|---|---|
| Media type | 機械可読データファイル |
| Size | XXVIII, 350 p. 3 illus : online resource |
| Notes | Chapter 1. Introduction of Thesis -- Chapter 2. Literature Review -- Chapter 3. Methodology and Data -- Chapter 4. Implied Volatility Forecasting Realized Volatility -- Chapter 5. Implied Volatility Estimating Currency Options Price -- Chapter 6. Conclusion of Thesis This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options HTTP:URL=https://doi.org/10.1007/978-3-030-71242-6 |
| Subjects | LCSH:Financial risk management LCSH:Big data LCSH:Capital market LCSH:Financial services industry FREE:Risk Management FREE:Big Data FREE:Capital Markets FREE:Financial Services |
| Classification | LCC:HD61 DC23:658.155 |
| ID | 8000074009 |
| ISBN | 9783030712426 |
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