On the determinants of the evolution of the volatility surface in the over-the-counter currency option market
This dissertation presents an empirical analysis of the determinants of the evolution of the volatility surface in the over-the-counter currency option market. We show spot rate return, change in realised volatility, volatility of volatility, market sentiment and interest rate differential all have...
| Main Author: | |
|---|---|
| Format: | Thesis |
| Language: | English |
| Published: |
Curtin University
2014
|
| Online Access: | http://hdl.handle.net/20.500.11937/683 |