An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options
This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is estimated using the at-the-money one-month, two-month, and three-month maturity AUD options traded in the opening, midday, and closing period of a trading day. The Mincer-Zarnowitz r...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2021-01-01
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| Series: | Journal of Open Innovation: Technology, Market and Complexity |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2199-8531/7/1/23 |