Analysing Intraday Implied Volatility for Pricing Currency Options - Contributions to Finance and Accounting - Thi Le - Libros - Springer Nature Switzerland AG - 9783030712419 - 14 de abril de 2021
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Thi Le
Analysing Intraday Implied Volatility for Pricing Currency Options - Contributions to Finance and Accounting 2021 edition

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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 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.

350 pages, 3 Illustrations, black and white; XXVIII, 350 p. 3 illus.

Medios de comunicación Libros     Hardcover Book   (Libro con lomo y cubierta duros)
Publicado 14 de abril de 2021
ISBN13 9783030712419
Editores Springer Nature Switzerland AG
Páginas 350
Dimensiones 150 × 220 × 20 mm   ·   707 g
Lengua Alemán  

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