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Analysing Intraday Implied Volatility for Pricing Currency Options

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Analysing Intraday Implied Volatility for Pricing Currency Options

Thi Le

Springer
Collection: Contributions to Finance and Accounting
Publication date : 2021-04-13

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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.

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About the book

Author

Thi Le

Imprint

Springer

Collection

Contributions to Finance and Accounting

Publication date

2021-04-13

Pages

350 pages

Print ISBN

9783030712419

Language

English

Ebook informations

EAN PDF

9783030712426

Price

£89.50

Copy count 3

Print count 35

File size 3113 Ko

Informations accessibility

EAN EPUB

9783030712426

Price

£89.50

Copy count 3

Print count 35

File size 840 Ko

Informations accessibility

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About author(s)

Thi Le

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