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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| Format: | Final Year Project |
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2008
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| Online Access: | http://hdl.handle.net/10356/11504 |
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| Institution: | Nanyang Technological University |
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sg-ntu-dr.10356-115042023-05-19T06:24:04Z Investigation of the distribution and shifts in term structure of volatility Tan, Hui Shan Yan, Pway Yin Ho, Yi Siong Chong, Beng Soon Nanyang Business School DRNTU::Business 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. 2008-09-24T07:55:54Z 2008-09-24T07:55:54Z 2001 2001 Final Year Project (FYP) http://hdl.handle.net/10356/11504 Nanyang Technological University application/pdf |
| institution |
Nanyang Technological University |
| building |
NTU Library |
| continent |
Asia |
| country |
Singapore Singapore |
| content_provider |
NTU Library |
| collection |
DR-NTU |
| topic |
DRNTU::Business |
| spellingShingle |
DRNTU::Business Tan, Hui Shan Yan, Pway Yin Ho, Yi Siong Investigation of the distribution and shifts in term structure of volatility |
| description |
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. |
| author2 |
Chong, Beng Soon |
| author_facet |
Chong, Beng Soon Tan, Hui Shan Yan, Pway Yin Ho, Yi Siong |
| format |
Final Year Project |
| author |
Tan, Hui Shan Yan, Pway Yin Ho, Yi Siong |
| author_sort |
Tan, Hui Shan |
| title |
Investigation of the distribution and shifts in term structure of volatility |
| title_short |
Investigation of the distribution and shifts in term structure of volatility |
| title_full |
Investigation of the distribution and shifts in term structure of volatility |
| title_fullStr |
Investigation of the distribution and shifts in term structure of volatility |
| title_full_unstemmed |
Investigation of the distribution and shifts in term structure of volatility |
| title_sort |
investigation of the distribution and shifts in term structure of volatility |
| publishDate |
2008 |
| url |
http://hdl.handle.net/10356/11504 |
| _version_ |
1770564230342246400 |