Implied volatility as an estimator or realised volatility an investigation using OTC currency options

Implied volatility as an estimator or realised volatility an investigation using OTC currency options

Implied volatility in option prices is supposed to be the market's best estimate of future volatility. As such, a number of studies have investigated the performance of implied volatility in forecasting future volatility. However, most of the studies use data derived from exchange-traded option...

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Main Authors: Chew, Chung Han., Lee, Wee King., Yong, Cher Wee.
Other Authors: Covrig, Marian Vicentiu
Format: Theses and Dissertations
Published: 2008
Subjects:
DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
Online Access:http://hdl.handle.net/10356/4116
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Institution: Nanyang Technological University
id sg-ntu-dr.10356-4116
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spelling sg-ntu-dr.10356-41162023-07-04T15:58:18Z Implied volatility as an estimator or realised volatility an investigation using OTC currency options Chew, Chung Han. Lee, Wee King. Yong, Cher Wee. Covrig, Marian Vicentiu School of Electrical and Electronic Engineering Chen, Philippe DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems Implied volatility in option prices is supposed to be the market's best estimate of future volatility. As such, a number of studies have investigated the performance of implied volatility in forecasting future volatility. However, most of the studies use data derived from exchange-traded options. Our paper sets out to test the performance of implied volatility, derived from OTC currency options, a much larger and liquid market, as a future volatility forecast. Master of Science (Financial Engineering) 2008-09-17T09:44:51Z 2008-09-17T09:44:51Z 2000 2000 Thesis http://hdl.handle.net/10356/4116 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::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
spellingShingle DRNTU::Engineering::Electrical and electronic engineering::Computer hardware, software and systems
Chew, Chung Han.
Lee, Wee King.
Yong, Cher Wee.
Implied volatility as an estimator or realised volatility an investigation using OTC currency options
description Implied volatility in option prices is supposed to be the market's best estimate of future volatility. As such, a number of studies have investigated the performance of implied volatility in forecasting future volatility. However, most of the studies use data derived from exchange-traded options. Our paper sets out to test the performance of implied volatility, derived from OTC currency options, a much larger and liquid market, as a future volatility forecast.
author2 Covrig, Marian Vicentiu
author_facet Covrig, Marian Vicentiu
Chew, Chung Han.
Lee, Wee King.
Yong, Cher Wee.
format Theses and Dissertations
author Chew, Chung Han.
Lee, Wee King.
Yong, Cher Wee.
author_sort Chew, Chung Han.
title Implied volatility as an estimator or realised volatility an investigation using OTC currency options
title_short Implied volatility as an estimator or realised volatility an investigation using OTC currency options
title_full Implied volatility as an estimator or realised volatility an investigation using OTC currency options
title_fullStr Implied volatility as an estimator or realised volatility an investigation using OTC currency options
title_full_unstemmed Implied volatility as an estimator or realised volatility an investigation using OTC currency options
title_sort implied volatility as an estimator or realised volatility an investigation using otc currency options
publishDate 2008
url http://hdl.handle.net/10356/4116
_version_ 1772827116397658112

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