Manzur, Meher and Hoque, Ariful and Poitras, Geoffrey (2010) Currency option pricing and realized volatility. Banking and Finance Review, 2 (1). pp. 73-86. ISSN 1947-7945
Abstract
Volatility is a key parameter in currency option pricing. This paper examines alternative specifications of the volatility input to the Black-Scholes option pricing procedure. The focus is the relative performance of implied, realized, and GARCH-based models as predictors of market volatility to forecast currency options prices. Using exchange-traded, daily and intra-daily data for three major European currencies, the results indicate that the realized volatility model tends to outperform the other two specifications, both in-sample and out-of-sample. This result is intuitively appealing and expected to facilitate resolution of other problems in risk management applications.
|
Statistics for this ePrint Item |
| Item Type: | Article (Commonwealth Reporting Category C) |
|---|---|
| Refereed: | Yes |
| Item Status: | Live Archive |
| Additional Information: | Permanent restricted access to paper due to publisher's copyright restrictions. |
| Faculty/School / Institute/Centre: | Historic - Faculty of Business - School of Accounting, Economics and Finance (1 Apr 2007 - 31 Dec 2010) |
| Faculty/School / Institute/Centre: | Historic - Faculty of Business - School of Accounting, Economics and Finance (1 Apr 2007 - 31 Dec 2010) |
| Date Deposited: | 19 Oct 2010 10:27 |
| Last Modified: | 03 Jul 2013 00:03 |
| Uncontrolled Keywords: | European options; implied volatility; realized volatility; exchange-traded; synchronicity |
| Fields of Research (2008): | 15 Commerce, Management, Tourism and Services > 1502 Banking, Finance and Investment > 150201 Finance |
| Fields of Research (2020): | 35 COMMERCE, MANAGEMENT, TOURISM AND SERVICES > 3502 Banking, finance and investment > 350202 Finance |
| Socio-Economic Objectives (2008): | B Economic Development > 90 Commercial Services and Tourism > 9001 Financial Services > 900101 Finance Services |
| URI: | http://eprints.usq.edu.au/id/eprint/8768 |
Actions (login required)
 |
Archive Repository Staff Only |