𝔖 Bobbio Scriptorium
✦   LIBER   ✦

THE RANGE OF TRADED OPTION PRICES

✍ Scribed by Mark H. A. Davis; David G. Hobson

Book ID
111043069
Publisher
John Wiley and Sons
Year
2007
Tongue
English
Weight
276 KB
Volume
17
Category
Article
ISSN
0960-1627

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## 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