Investigation of the distribution and shifts in term structure of volatility
This paper looks into the distribution of the term structure of the implied volatility on foreign currency options. It investigates the types of volatility curve shifts involved and their magnitudes. Our study focuses on the implied volatilities of OTC currency options.
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/11504 |
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| Institution: | Nanyang Technological University |
| Summary: | This paper looks into the distribution of the term structure of the implied volatility on foreign currency options. It investigates the types of volatility curve shifts involved and their magnitudes. Our study focuses on the implied volatilities of OTC currency options. |
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