Overstatement of implied variance in the dollar/yen currency option market

DOI10.1023/A:1009646209003MaRDI QIDQ1000421zbMATH OpenOpenAlexFDO

Authors Dajiang Guo

Publication date 6 February 2009

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009646209003

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

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(2)

• A note on the term structure of implied volatilities for the yen/U.S. Dollar currency option
• Dynamic volatility trading strategies in the currency option market

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