Implied volatility asymmetries in currency options.

Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency opti...

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Main Authors:	Lee, Swee Chee., Tan, Teck Woon., Yip, Yew Tong.
Other Authors:	Low, Buen Sin
Format:	Theses and Dissertations
Language:	English
Published:	2008
Subjects:	DRNTU::Business::Finance::Options
Online Access:	http://hdl.handle.net/10356/7427
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Institution:	Nanyang Technological University
Language:	English

id	sg-ntu-dr.10356-7427
record_format	dspace
spelling	sg-ntu-dr.10356-74272024-01-12T10:18:35Z Implied volatility asymmetries in currency options. Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong. Low, Buen Sin Nanyang Business School DRNTU::Business::Finance::Options Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market. Master of Science (Financial Engineering) 2008-09-18T07:45:30Z 2008-09-18T07:45:30Z 2001 2001 Thesis http://hdl.handle.net/10356/7427 en Nanyang Technological University 103 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 Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong. Implied volatility asymmetries in currency options.
description	Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market.
author2	Low, Buen Sin
author_facet	Low, Buen Sin Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong.
format	Theses and Dissertations
author	Lee, Swee Chee. Tan, Teck Woon. Yip, Yew Tong.
author_sort	Lee, Swee Chee.
title	Implied volatility asymmetries in currency options.
title_short	Implied volatility asymmetries in currency options.
title_full	Implied volatility asymmetries in currency options.
title_fullStr	Implied volatility asymmetries in currency options.
title_full_unstemmed	Implied volatility asymmetries in currency options.
title_sort	implied volatility asymmetries in currency options.
publishDate	2008
url	http://hdl.handle.net/10356/7427
_version_	1789483044037459968

Implied volatility asymmetries in currency options.

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