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  book-img-for-question

Multinational Business Finance

ISBN: 9781292097879

14th Global Edition

Authors: David Eiteman, Arthur Stonehill, Michael Moffett

Question Posted: