Currency option pricing and realised volatility

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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

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