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.

Saved in:
Bibliographic Details
Main Authors: Tan, Hui Shan, Yan, Pway Yin, Ho, Yi Siong
Other Authors: Chong, Beng Soon
Format: Final Year Project
Published: 2008
Subjects:
Online Access:http://hdl.handle.net/10356/11504
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University

Similar Items