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An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options
2021
Journal of Open Innovation: Technology, Market and Complexity
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
doi:10.3390/joitmc7010023
fatcat:xf7iuecdtne33ddzhf22rtipe4