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1-3 of 3
Keywords: Currency Options
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Journal Articles
Psychological Barrier in Foreign Exchange Rate and Implied Volatility in Currency Exchange Option
Open Access
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (2): 309–329.
Published: 31 May 2014
... for each currency rate near the psychological barriers. Since this effect is more clearly observed on the implied volatility data, this fact supports that psychological barriers affects to the price of the FX-options. Psychological Barrier M-Values Currency Options Implied Volatility GARCH ©...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (4): 365–390.
Published: 30 November 2012
...Byung Jin Kang This study investigates the over- and under-reacting behavior of USD/KRW OTC currency option investors from the year of 2006 to 2011. Using the empirical testing models suggested by Poteshman (2001), we first find that USD/KRW OTC option investors tend to under-react...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2011) 19 (2): 207–232.
Published: 31 May 2011
...Byung Jin Kang This paper investigate the information content of implied volatilities derived from KRW/USD OTC currency options. First, we examined the explanatory power of implied volatilities in forecasting future realized volatilities of the spot exchange rates. Next, we examined the dynamic...
