British and australian

This thesis provides empirical investigations into the behaviour of implied volatility quotes for currency options on the British pound/U.S. dollar (GBP/USD), the euro/U.S. dollar (EUR/USD), the Australian dollar/U.S. dollar (AUD/USD) and the U.S. dollar/Japanese yen (USD/JPY). The analyses are performed using dealer-quoted implied volatility and spot exchange rate datasets collected from the over-the-counter currency option market.

290p runthenight04 02-02-2023 14 4   Download