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Learning From The Term Structure Of Implied Volatility In Foreign Exchange Options

In: Currency Options And Exchange Rate Economics

Author

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  • José Manuel Campa

    (Stern School of Business, New York University, USA)

  • P. H. Kevin Chang

    (University of Southern California, USA)

Abstract

The 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

Suggested Citation

  • José Manuel Campa & P. H. Kevin Chang, 1998. "Learning From The Term Structure Of Implied Volatility In Foreign Exchange Options," World Scientific Book Chapters, in: Zhaohui Chen (ed.), Currency Options And Exchange Rate Economics, chapter 5, pages 73-93, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812551_0005
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