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
id sg-ntu-dr.10356-7135
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spelling sg-ntu-dr.10356-71352023-05-19T07:16:28Z Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies. Cheng, Alvin Beng Kiat. Chua, Chin Tong. Zheng, Ru. Zhang, Shaojun Nanyang Business School DRNTU::Business::Finance::Options This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy. Master of Science (Financial Engineering) 2008-09-18T07:40:29Z 2008-09-18T07:40:29Z 2002 2002 Thesis http://hdl.handle.net/10356/7135 en Nanyang Technological University 58 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Options
spellingShingle DRNTU::Business::Finance::Options
Cheng, Alvin Beng Kiat.
Chua, Chin Tong.
Zheng, Ru.
Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
description This paper evaluates the forecasting ability of implied volatility of OCT dollar-yen options by applying a devised trading strategy.
author2 Zhang, Shaojun
author_facet Zhang, Shaojun
Cheng, Alvin Beng Kiat.
Chua, Chin Tong.
Zheng, Ru.
format Theses and Dissertations
author Cheng, Alvin Beng Kiat.
Chua, Chin Tong.
Zheng, Ru.
author_sort Cheng, Alvin Beng Kiat.
title Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
title_short Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
title_full Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
title_fullStr Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
title_full_unstemmed Testing the forecasting ability of implied volatility of OTC currency pair using trading strategies.
title_sort testing the forecasting ability of implied volatility of otc currency pair using trading strategies.
publishDate 2008
url http://hdl.handle.net/10356/7135
_version_ 1770563612659679232

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