Currency Option Pricing within a Credible Target Zone

Details

Serval ID
serval:BIB_73BDE1420885
Type
Article: article from journal or magazin.
Collection
Publications
Title
Currency Option Pricing within a Credible Target Zone
Journal
Review of Futures Markets
Author(s)
Dumas, B., Jennergren, L. P., Naslund, B. 
Publication state
Published
Issued date
1993
Volume
12
Number
2
Pages
323-346
Abstract
This paper develops a model for valuing options on a currency which is maintained within a band. The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone. Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.
Create date
19/11/2007 10:33
Last modification date
20/08/2019 14:31
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