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The Implied Volatility In Prices Of Foreign Currency Options

In: Currency Options And Exchange Rate Economics

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  • Louis O. Scott

    (University of Georgia, USA)

Abstract

The 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

Suggested Citation

  • Louis O. Scott, 1998. "The Implied Volatility In Prices Of Foreign Currency Options," World Scientific Book Chapters, in: Zhaohui Chen (ed.), Currency Options And Exchange Rate Economics, chapter 4, pages 49-72, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812551_0004
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