Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.

Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.

This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy.

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Bibliographic Details
Main Authors: Cheng, Alvin Beng Kiat., Chua, Chin Tong., Zheng, Ru.
Other Authors: Zhang, Shaojun
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
DRNTU::Business::Finance::Options
Online Access:http://hdl.handle.net/10356/7135
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Institution: Nanyang Technological University
Language: English

Internet

http://hdl.handle.net/10356/7135

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