day-to-day volatility of currency prices that should be driven by slow-moving macro fundamentals …

We analyze the implied volatility smile of a lognormal distribution on a on a 6 – month EUR/USD call currency option … contract using a random standard normal variable. There is significant time variation in the implied volatility smile and the … estimates of a risk adjusted measure. Deep in or out of the money contract has higher implied volatility. We have found that the …

This study introduces the intraday implied volatility (IV) for pricing the Australian dollar (AUD) options. The IV is … foreign exchange volatility for the within-week, one-week, and one-month horizon. The mean absolute error, mean squared error … information to price options for the shorter (longer) horizon. The intraday IV is a new dimension of unobservable volatility in …

Option prices seem to behave in ways inconsistent with the Black-Scholes model. Implied volatility varies with the … strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … promising in explaining the volatility smile. Applying this to the ERM data, I find that the probability of a devaluation in the …