Implied volatility asymmetries in currency options.
Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency opti...
| Main Authors: | , , |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7427 |
| _version_ | 1811687114363895808 |
|---|---|
| author | Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong. |
| author2 | Low, Buen Sin |
| author_facet | Low, Buen Sin Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong. |
| author_sort | Lee, Swee Chee. |
| collection | NTU |
| description | Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market. |
| first_indexed | 2024-10-01T05:11:10Z |
| format | Thesis |
| id | ntu-10356/7427 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T05:11:10Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-10356/74272024-01-12T10:18:35Z Implied volatility asymmetries in currency options. Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong. Low, Buen Sin Nanyang Business School DRNTU::Business::Finance::Options Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market. Master of Science (Financial Engineering) 2008-09-18T07:45:30Z 2008-09-18T07:45:30Z 2001 2001 Thesis http://hdl.handle.net/10356/7427 en Nanyang Technological University 103 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Options Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong. Implied volatility asymmetries in currency options. |
| title | Implied volatility asymmetries in currency options. |
| title_full | Implied volatility asymmetries in currency options. |
| title_fullStr | Implied volatility asymmetries in currency options. |
| title_full_unstemmed | Implied volatility asymmetries in currency options. |
| title_short | Implied volatility asymmetries in currency options. |
| title_sort | implied volatility asymmetries in currency options |
| topic | DRNTU::Business::Finance::Options |
| url | http://hdl.handle.net/10356/7427 |
| work_keys_str_mv | AT leesweechee impliedvolatilityasymmetriesincurrencyoptions AT tanteckwoon impliedvolatilityasymmetriesincurrencyoptions AT yipyewtong impliedvolatilityasymmetriesincurrencyoptions |