Implied volatility asymmetries in currency options.

• 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
• Institution: 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...