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Keywords: Exchange rates
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Journal Articles
Modeling moneyness volatility in measuring exchange rate volatility
Available to Purchase
International Journal of Managerial Finance (2012) 8 (4): 365–380.
Published: 21 September 2012
... and practitioners over the last several decades. The implied volatility (IV) measure is widely believed to be the best measure of exchange rate volatility. Despite its widespread usage, the IV approach suffers from an obvious chicken‐egg problem: obtaining an unbiased IV requires the options to be priced correctly...
