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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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Theses and Dissertations |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/7135 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy. |
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