Implied volatility asymmetries in currency options.

• المؤلفون الرئيسيون: Lee, Swee Chee., Tan, Teck Woon., Yip, Yew Tong.
• مؤلفون آخرون: Low, Buen Sin
• التنسيق: Theses and Dissertations
• اللغة: English
• منشور في: 2008
• الموضوعات: DRNTU::Business::Finance::Options
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/7427
• المؤسسة: Nanyang Technological University

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...