On the determinants of the evolution of the volatility surface in the over-the-counter currency option market

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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...

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Bibliographic Details
Main Author:	Hu, Laixi
Format:	Thesis
Language:	English
Published:	Curtin University 2014
Online Access:	http://hdl.handle.net/20.500.11937/683

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