Abstract
Dealing in currency options has probably been one of the fastest growth areas in the foreign exchange market over the last decade. However, whereas economic research in the field of foreign exchange (forex) markets largely focused on devising structural models of exchange rate determination and the issue of efficiency, most of the literature on options has concentrated on improving the basic Black-Scholes formula and only a few articles have so far addressed the issue of the efficiency of the currency options market.
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Dunis, C. (1994). Implied versus historical volatility: an empirical test of the efficiency of the currency options market. In: Scobie, H.M. (eds) The European Single Market. Springer, Dordrecht. https://doi.org/10.1007/978-94-011-1304-5_11
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DOI: https://doi.org/10.1007/978-94-011-1304-5_11
Publisher Name: Springer, Dordrecht
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