## Abstract This article examines the interrelations between future volatility of the U.S. dollar/British pound exchange rate and trading volume of currency options for the British pound. The future volatility of the exchange rate is approximated alternatively by implied volatility and by IGARCH vo
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Pricing currency options in the presence of time-varying volatility and non-normalities
β Scribed by G.C. Lim; G.M. Martin; V.L. Martin
- Book ID
- 113810559
- Publisher
- Elsevier Science
- Year
- 2006
- Tongue
- English
- Weight
- 403 KB
- Volume
- 16
- Category
- Article
- ISSN
- 1042-444X
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