Implied volatility of foreign exchange options: is it worth tracking?
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- Péter Gábriel & Klára Pintér, 2006. "The effect of the MNB’s communication on financial markets," MNB Working Papers 2006/9, Magyar Nemzeti Bank (Central Bank of Hungary).
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Keywordsoption; volatility; exchange rate.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-25 (All new papers)
- NEP-CBA-2006-03-25 (Central Banking)
- NEP-FIN-2006-03-25 (Finance)
- NEP-FMK-2006-03-25 (Financial Markets)
- NEP-FOR-2006-03-25 (Forecasting)
- NEP-IFN-2006-03-25 (International Finance)
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