Téléchargez le livre : Analysing Intraday Implied Volatility for Pricing Currency Options

Analysing Intraday Implied Volatility for Pricing Currency Options

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Éditeur :

Springer


Collection :

Contributions to Finance and Accounting

Paru le : 2021-04-13

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Description
This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created opportunities to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equities, fixed income and foreign exchange. 


This book emphasises four key areas, (1) estimating intraday implied volatility using ultra-high frequency (5-minutes frequency) currency options to capture traders' trading behaviour, (2) computing realised volatility based on 5-minute frequency currency price to obtain speculators' speculation attitude, (3) examining the ability of implied volatility to subsume market information through forecasting realised volatility and (4) evaluating the predictive power of implied volatilityfor pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.
Pages
350 pages
Collection
Contributions to Finance and Accounting
Parution
2021-04-13
Marque
Springer
EAN papier
9783030712419
EAN PDF
9783030712426
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
35
Taille du fichier
3113 Ko
Prix
95,39 €
EAN EPUB
9783030712426
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
35
Taille du fichier
840 Ko
Prix
95,39 €

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