Artikel

An open innovation intraday implied volatility for pricing Australian dollar options

This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is estimated using the at-the-money one-month, two-month, and three-month maturity AUD options traded in the opening, midday, and closing period of a trading day. The Mincer-Zarnowitz regression test evaluates the predictive power of IV to forecast the foreign exchange volatility for the within-week, one-week, and one-month horizon. The mean absolute error, mean squared error, and root mean squared error measures are employed to assess the performance of IV in estimating the price of currency options for the within-week, one-week, and one-month horizon. This study reveals four critical findings. First, a three-month maturity IV does not contain vital information for pricing options. Second, IV incorporated information is not relevant to compute the value of options for a horizon of less than a week. Third, IV in the closing period of Monday or Tuesday subsumes most of the essential information to estimate options price. Fourth, the shorter (longer) maturity IV provides critical information to price options for the shorter (longer) horizon. The intraday IV is a new dimension of unobservable volatility in accurately pricing currency options for researchers and practitioners.

Sprache
Englisch

Erschienen in
Journal: Journal of Open Innovation: Technology, Market, and Complexity ; ISSN: 2199-8531 ; Volume: 7 ; Year: 2021 ; Issue: 1 ; Pages: 1-14 ; Basel: MDPI

Klassifikation
Management
Thema
Australian dollar options
intraday implied volatility
Mincer-Zarnowitz regression
realised volatility

Ereignis
Geistige Schöpfung
(wer)
Le, Thi
Hoque, Ariful
Hassan, Kamrul
Ereignis
Veröffentlichung
(wer)
MDPI
(wo)
Basel
(wann)
2021

DOI
doi:10.3390/joitmc7010023
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Artikel

Beteiligte

  • Le, Thi
  • Hoque, Ariful
  • Hassan, Kamrul
  • MDPI

Entstanden

  • 2021

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