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Overstatement of Implied Variance in the Dollar/Yen Currency Option Market

✍ Scribed by DAJIANG GUO

Book ID: 110277821
Publisher: Springer
Year: 1997
Tongue: English
Weight: 138 KB
Volume: 4
Category: Article
ISSN: 1573-6946
DOI: 10.1023/a:1009646209003

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📜 SIMILAR VOLUMES

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A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option

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The information content in implied idios

The information content in implied idiosyncratic volatility and the cross-section of stock returns: Evidence from the option markets

✍ Dean Diavatopoulos; James S. Doran; David R. Peterson 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB 👁 2 views

## Abstract Current literature is inconclusive as to whether idiosyncratic risk influences future stock returns and the direction of the impact. Earlier studies are based on historical realized volatility. Implied volatilities from option prices represent the market's assessment of future risk and