Implied volatility as an estimator or realised volatility an investigation using OTC currency options
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 option...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Thesis |
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2008
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| Online Access: | http://hdl.handle.net/10356/4116 |
| _version_ | 1811688657270079488 |
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| author | Chew, Chung Han. Lee, Wee King. Yong, Cher Wee. |
| author2 | Covrig, Marian Vicentiu |
| author_facet | Covrig, Marian Vicentiu Chew, Chung Han. Lee, Wee King. Yong, Cher Wee. |
| author_sort | Chew, Chung Han. |
| collection | NTU |
| description | 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. |
| first_indexed | 2024-10-01T05:35:41Z |
| format | Thesis |
| id | ntu-10356/4116 |
| institution | Nanyang Technological University |
| last_indexed | 2024-10-01T05:35:41Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/41162023-07-04T15:58:18Z Implied volatility as an estimator or realised volatility an investigation using OTC currency options Chew, Chung Han. Lee, Wee King. Yong, Cher Wee. Covrig, Marian Vicentiu School of Electrical and Electronic Engineering Chen, Philippe DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems 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. Master of Science (Financial Engineering) 2008-09-17T09:44:51Z 2008-09-17T09:44:51Z 2000 2000 Thesis http://hdl.handle.net/10356/4116 Nanyang Technological University application/pdf |
| spellingShingle | DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems Chew, Chung Han. Lee, Wee King. Yong, Cher Wee. Implied volatility as an estimator or realised volatility an investigation using OTC currency options |
| title | Implied volatility as an estimator or realised volatility an investigation using OTC currency options |
| title_full | Implied volatility as an estimator or realised volatility an investigation using OTC currency options |
| title_fullStr | Implied volatility as an estimator or realised volatility an investigation using OTC currency options |
| title_full_unstemmed | Implied volatility as an estimator or realised volatility an investigation using OTC currency options |
| title_short | Implied volatility as an estimator or realised volatility an investigation using OTC currency options |
| title_sort | implied volatility as an estimator or realised volatility an investigation using otc currency options |
| topic | DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems |
| url | http://hdl.handle.net/10356/4116 |
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