Pricing Currency Options with Intra-Daily Implied Volatility

Pricing Currency Options with Intra-Daily Implied Volatility

This paper introduces the intra-daily implied volatility (IDIV), a new volatility measure to price currency option accurately. The IDIV is developed based on the implied volatility estimated on equally spaced intradaily intervals. This model captures the intra-daily level aggregate information rel...

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Bibliographic Details
Main Authors: Ariful Hoque, Petko S. Kalev
Format: Article
Language:English
Published: University of Wollongong 2015-03-01
Series:Australasian Accounting, Business and Finance Journal
Subjects:
realized volatility
currency options pricing
Intra-daily implied volatility
Online Access:http://ro.uow.edu.au/aabfj/vol9/iss1/4

Internet

http://ro.uow.edu.au/aabfj/vol9/iss1/4

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