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Analysing intraday implied volatility for pricing currency options

Record Type:	Electronic resources : Monograph/item
Title/Author:	Analysing intraday implied volatility for pricing currency options/ by Thi Le.
Author:	Le, Thi.
Published:	Cham :Springer International Publishing : : 2021.,
Description:	xxviii, 350 p. :ill., digital ;24 cm.
[NT 15003449]:	Chapter 1. Introduction of Thesis -- Chapter 2. Literature Review -- Chapter 3. Methodology and Data -- Chapter 4. Implied Volatility Forecasting Realized Volatility -- Chapter 5. Implied Volatility Estimating Currency Options Price -- Chapter 6. Conclusion of Thesis.
Contained By:	Springer Nature eBook
Subject:	Foreign exchange options. -
Online resource:	https://doi.org/10.1007/978-3-030-71242-6
ISBN:	9783030712426

Analysing intraday implied volatility for pricing currency options
Le, Thi.

Analysing intraday implied volatility for pricing currency options[electronic resource] /by Thi Le. - Cham :Springer International Publishing :2021. - xxviii, 350 p. :ill., digital ;24 cm. - Contributions to finance and accounting,2730-6038. - Contributions to finance and accounting..

Chapter 1. Introduction of Thesis -- Chapter 2. Literature Review -- Chapter 3. Methodology and Data -- Chapter 4. Implied Volatility Forecasting Realized Volatility -- Chapter 5. Implied Volatility Estimating Currency Options Price -- Chapter 6. Conclusion of Thesis.

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 volatility for pricing currency options. This is a must-read for academics and professionals who want to improve their skills and outcomes in trading options.

ISBN: 9783030712426

Standard No.: 10.1007/978-3-030-71242-6doiSubjects--Topical Terms:

3493811
Foreign exchange options.

LC Class. No.: HG3853 / .L484 2021

Dewey Class. No.: 332.45

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520 $a 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 volatility for 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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