THE IMPLIED VOLATILITY IN PRICES OF FOREIGN CURRENCY OPTIONS

Louis O. Scott
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Louis O. Scott: University of Georgia, USA

Chapter 4 in Currency Options and Exchange Rate Economics, 1998, pp 49-72 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionOption Pricing ModelsImplied volatilitiesAn analysis of implied volatilities in models with stochastic volatilityA Review of the Empirical Research on Implied VolatilitiesA review of the empirical research on stock optionsThe empirical research on foreign currency optionsSummary and Discussion of Issues for Future ResearchAcknowledgementsReferences

Date: 1998
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