Implied volatility dynamics in the foreign exchange markets

Journal of International Money and Finance

Volumn 22, Issue 4, 2003, Pages 511-528

  Kim, Minho ^a   Kim, Minchoul ^b  

^a Chonbuk National University   (South Korea)

^b Hoseo University   (South Korea)

Author keywords

Delta neutral portfolio; Foreign exchange; Implied volatility; Macroeconomic announcements; Options on futures

Indexed keywords

EID: 0037632806     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(03)00018-4     Document Type: Article

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