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Analysing Intraday Implied Volatility for Pricing Currency Options

169,38 
169,38 
2025-07-31 169.3800 InStock
Nemokamas pristatymas į paštomatus per 13-17 darbo dienų užsakymams nuo 19,00 

Knygos aprašymas

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.

Informacija

Autorius: Thi Le
Serija: Contributions to Finance and Accounting
Leidėjas: Springer International Publishing
Išleidimo metai: 2022
Knygos puslapių skaičius: 380
ISBN-10: 3030712443
ISBN-13: 9783030712440
Formatas: Knyga minkštu viršeliu
Kalba: Anglų
Žanras: Risk assessment

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