Analysing Intraday Implied Volatility for Pricing Currency Options PDF Download
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Author: Thi Le
Publisher:
ISBN: 9783030712433
Category :
Languages : en
Pages : 0
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Book 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 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.
Author: Thi Le
Publisher:
ISBN: 9783030712433
Category :
Languages : en
Pages : 0
Get Book Here
Book 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 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.
Author: Thi Ngoc Quynh Le
Publisher:
ISBN:
Category : Foreign exchange options
Languages : en
Pages : 240
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Book Description
Author: Thi Le
Publisher: Springer Nature
ISBN: 3030712427
Category : Business & Economics
Languages : en
Pages : 350
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Book 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 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.
Author: Christian Pierdzioch
Publisher: Springer Science & Business Media
ISBN: 9783540427452
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
A flexible instrument to insure against adverse exchange rate movements are options on foreign currency. Often a relatively simple foreign currency option valuation model is used to address issues related to the pricing and hedging of such options. The results of many empirical studies document that real-world foreign currency option premia deviate from those predicted by the baseline model. In the first part of the book, it is shown that a noise trader model can help to explain the observed mispricing of the baseline foreign currency option pricing model. In the second part of the book, it is studied how policymakers can exploit the pricing errors of the baseline model. In particular, it is examined how option pricing theory can be applied to assess the effectiveness of central bank interventions in the foreign exchange market. To this end, a model is constructed to analyze the effectiveness of the interventions conducted by the Deutsche Bundesbank during the Louvre period.
Author: Xinzhong Xu
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Robert A. Jarrow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 472
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Book Description
Written by a number of authors, this text is aimed at market practitioners and applies the latest stochastic volatility research findings to the analysis of stock prices. It includes commentary and analysis based on real-life situations.
Author: Robin G. Brown
Publisher: London ; Toronto : Butterworths
ISBN:
Category : Currency question
Languages : en
Pages : 220
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Book Description
Author: Fatih Akin
Publisher:
ISBN:
Category :
Languages : en
Pages : 346
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Book Description
Author: Andreas Rathgeber
Publisher:
ISBN:
Category :
Languages : en
Pages : 45
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Book Description
By extending and reviewing determinants of the implied volatility in the context of high frequency (HF) trade-by-trade DAX equity options from the EUREX a mean-reversion autocorrelation process is revealed, besides confirming low frequency results such as moneyness, time, liquidity, volume and underlying moment dependencies. Furthermore, we show, that the mean-reversion process is present, even if we control for fluctuating trades between bid and ask prices. It is induced by algorithmic market making and market microstructure effects. We address the HF research gap in market microstructure literature expressed by O'Hara (2015), who argues that markets and trading is radically different today, which consequently altered the basic constructs of market microstructure, and we give additional explanation for the flickering quote hypothesis of Hasbrouck and Saar (2009).
Author: Mohammed Ariful Hoque
Publisher:
ISBN:
Category :
Languages : en
Pages : 498
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Book Description
For currency options pricing, this study examines the performance of implied volatility model (IVM) and GARCH (1,1)-based volatility model (GVM) for daily data, and realized volatility model (RVM) for intra-day data. The IVM and GVM provide mixed results for in-sample tests. The out-of-sample results indicate that IVM tends to outperform GVM in forecasting options prices. The results also indicate that RVM outperforms IVM and GVM for pricing options with higher accuracy by capturing exchange rate return behaviour for both in-sample and out-of sample. This implies that intra-daily level volatility model RVM contains adequate information which cannot be accommodated by the standard daily level volatility model IVM and GVM for pricing options. Thus using RVM is a novel approach for pricing currency options, and may add a new dimension to the options valuation technique. The last segment of this research is an innovation in options literature. In this segment, a general optimization framework is proposed to forecast options prices by exploiting their price volatility history, rather than the volatility of the underlying currencies. Thus, in this framework, spot and options markets are treated as separate entities. The approach is flexible in that different objective functions for predicting the underlying volatility can be modified and adapted in the proposed framework. The forecast performance of this framework is compared with the forecast performance of the Multiplicative Error Model (MEM) of implied volatility and the GARCH (1,1). The results indicate that the proposed framework is capable of producing reasonably accurate forecasts for put and call prices.
