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Keywords: Moneyness volatility
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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 calculating option prices accurately requires an unbiased IV. Design/methodology/approach The authors contribute to the literature by developing a new model for FX rate volatility – the “moneyness volatility (MV)”. This approach is based on measuring the variability of forward‐looking “moneyness” rather...
