Implied volatility asymmetries in currency options.

• Main Authors: Lee, Swee Chee., Tan, Teck Woon., Yip, Yew Tong.
• 其他作者: Low, Buen Sin
• 格式: Theses and Dissertations
• 語言: English
• 出版: 2008
• 主題: DRNTU::Business::Finance::Options
• 在線閱讀: http://hdl.handle.net/10356/7427
• 機構: 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...