Titlebook: Analysing Intraday Implied Volatility for Pricing Currency Options; Thi Le Book 2021 The Editor(s) (if applicable) and The Author(s), unde

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Belén Fernández-García,Ángel Valencia Sáizricing model, and (b) compare the CMOD and PMOD with the call and put options market price, respectively, evaluating the performance of IV to estimate the price of currency options for the within-week, 1-week, and 1-month estimate horizon. Finally, the details of the data are described in this chapter.

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Introduction of Thesis,(OTC) options are allowed for customisation of the terms of the options contract for contract size, strike price, and date of maturity. This chapter discusses currency options’ mechanics, development of currency options market, research objectives and hypotheses, and thesis structure.

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Methodology and Data,ricing model, and (b) compare the CMOD and PMOD with the call and put options market price, respectively, evaluating the performance of IV to estimate the price of currency options for the within-week, 1-week, and 1-month estimate horizon. Finally, the details of the data are described in this chapter.

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Book 2021 to obtain better, faster, and more efficient datasets to explore financial market phenomena at the most acceptable data levels. It provides reliable intraday data supporting financial investment decisions across different assets classes and instruments consisting of commodities, derivatives, equiti

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Introduction of Thesis,rd or futures contracts but use as a more versatile financial derivative. It can offer the opportunities and advantages to those seeking protection from financial distress resulting from the movement of foreign exchange (FX) rate. Over the past four decades, the currency options employ as a hedging

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Literature Review,erature. This study involves a rigorous literature review to identify the research gaps and discover the potential of intraday IV to forecast volatility of foreign exchange and pricing currency options. First, the literature review focuses on the performance of IV to forecast volatility of the stock

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Methodology and Data,o (a) estimate the IV based on the ATM price of call and put options with 1-, 2-, and 3-month maturity during the opening, midday, and closing period of a trading day, (b) estimate the RV for the underlying currency of options and using it as the proxy for the actual foreign exchange volatility, and