Currency option pricing and realised volatility

Currency option pricing and realised volatility

Volatility is a key parameter in currency option pricing. This paper examines alternative specifications ofthe volatility input to the Black-Scholes option pricing procedure. The focus is the relative performance ofimplied, realized, and GARCH-based models as predictors of market volatility to forec...

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Bibliographic Details
Main Authors: Manzur, Meher, Hoque, A., Poitras, G.
Format: Journal Article
Published: Central Connecticut State University, Department of Finance 2010
Subjects:
European options
Synchronicity
Realized volatility
Exchange-traded
Implied volatility
Online Access:http://hdl.handle.net/20.500.11937/35929

Internet

http://hdl.handle.net/20.500.11937/35929

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