Implied volatility asymmetries in currency options.
Lee, Swee Chee.
Tan, Teck Woon.
Yip, Yew Tong.
Date of Issue2001
College of Business (Nanyang Business School)
Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market.
Nanyang Technological University