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 website to obtain current implied currency volatilities for major trading cross-currency rates.
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: 9781292270081
15th Global Edition
Authors: David Eiteman, Arthur Stonehill, Michael Moffett
Question Posted: