Implied Currency Volatilities. The single unobservable variable in currency option pricing is the volatility, since volatility inputs
Question:
Implied Currency Volatilities. The single unobservable variable in currency option pricing is the volatility, since volatility inputs are the expected standard deviation of the daily spot rate for the coming period of the option’s maturity. Use the New York Federal Reserve’s Web site to obtain current implied currency volatilities for major trading cross-rate pairs.
Federal Reserve Bank of New York www.ny.frb.org/markets/
impliedvolatility.html
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Multinational Business Finance
ISBN: 9781292097879
14th Global Edition
Authors: David Eiteman, Arthur Stonehill, Michael Moffett
Question Posted: