LEARNING FROM THE TERM STRUCTURE OF IMPLIED VOLATILITY IN FOREIGN EXCHANGE OPTIONS

Jose Campa and P. H. Kevin Chang
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P. H. Kevin Chang: University of Southern California, USA

Chapter 5 in Currency Options and Exchange Rate Economics, 1998, pp 73-93 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionStochastic Volatility and the Use of Black–Scholes Volatility QuotesData and Descriptive StatisticsTesting the Expectations HypothesisOverreactions in Foreign Exchange OptionsOut-of-Sample Forecasts of Future Implied VolatilityConclusionReferences

Date: 1998
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