Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy.
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7135 |
| _version_ | 1811676984236834816 |
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| author | Cheng, Alvin Beng Kiat. Chua, Chin Tong. Zheng, Ru. |
| author2 | Zhang, Shaojun |
| author_facet | Zhang, Shaojun Cheng, Alvin Beng Kiat. Chua, Chin Tong. Zheng, Ru. |
| author_sort | Cheng, Alvin Beng Kiat. |
| collection | NTU |
| description | This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy. |
| first_indexed | 2024-10-01T02:30:09Z |
| format | Thesis |
| id | ntu-10356/7135 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T02:30:09Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/71352023-05-19T07:16:28Z Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. Cheng, Alvin Beng Kiat. Chua, Chin Tong. Zheng, Ru. Zhang, Shaojun Nanyang Business School DRNTU::Business::Finance::Options This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy. Master of Science (Financial Engineering) 2008-09-18T07:40:29Z 2008-09-18T07:40:29Z 2002 2002 Thesis http://hdl.handle.net/10356/7135 en Nanyang Technological University 58 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Options Cheng, Alvin Beng Kiat. Chua, Chin Tong. Zheng, Ru. Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. |
| title | Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. |
| title_full | Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. |
| title_fullStr | Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. |
| title_full_unstemmed | Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. |
| title_short | Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. |
| title_sort | testing the forecasting ability of implied volatility of otc currency pair using trading strategies |
| topic | DRNTU::Business::Finance::Options |
| url | http://hdl.handle.net/10356/7135 |
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