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Does implied volatility of currency futures option imply volatility of exchange rates?

โœ Scribed by Alan T. Wang

Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
170 KB
Volume
374
Category
Article
ISSN
0378-4371

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๐Ÿ“œ SIMILAR VOLUMES

Information content of volatilities impl
Information content of volatilities implied by option premiums in grain futures markets
โœ William W. Wilson; Hung-Gay Fung ๐Ÿ“‚ Article ๐Ÿ“… 1990 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 907 KB

Although the interest rate needs to be forecast, the study by Plato (1985) and others have shown that the interest rate forecast has little impact on the option premium. Therefore, the observed Treasury Bill interest rate is used as the parameter in this study.

Stock return dynamics, option volume, an
Stock return dynamics, option volume, and the information content of implied volatility
โœ Stewart Mayhew; Chris Stivers ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 192 KB ๐Ÿ‘ 2 views

## Abstract This article reports new empirical results on the information content of implied volatility, with respect to modeling and forecasting the volatility of individual firm returns. The 50 firms with the highest option volume on the Chicago Board Options Exchange between 1988 and 1995 are ex

Alternative estimates of weighted implie
Alternative estimates of weighted implied volatilities from soybean and live cattle options
โœ Calum G. Turvey ๐Ÿ“‚ Article ๐Ÿ“… 1990 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 780 KB

he volatility implied by options on future contracts is defined as that standard deviation which equates the theoretical Black (1978) option pricing formula to the observed option price. The measure is valuable as an ex ante predictor of futures price variance, and a substantial body of literature h

The information content of option implie
The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash
โœ Joseph K. W. Fung ๐Ÿ“‚ Article ๐Ÿ“… 2007 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 212 KB ๐Ÿ‘ 2 views

## Abstract This study examines the information conveyed by options and examines their implied volatility at the time of the 1997 Hong Kong stock market crash. The author determines the efficiency of implied volatility as a predictor of future volatility by comparing it to other leading indicator c