Can OTC Currency Option Volatility Smile Predict Currency Future Returns?
碩士 === 國立臺灣大學 === 財務金融組 === 102 === Lots of previous studies show the volatility smile in option markets has significant predictive power for future stock returns. In this paper we want to exam the predictability of measure of volatility smile for future currency returns. Different from previous stu...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/31313238780282859520 |