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

• 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
• Institution: Nanyang Technological University

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