Le, Thi; Hoque, Ariful; Hassan, Kamrul - In: Journal of open innovation : technology, market, and … 7 (2021) 1/23, pp. 1-14
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 … options for the within-week, one-week, and one-month horizon. This study reveals four critical findings. First, a three …