Currency Option Pricing within a Credible Target Zone
Détails
ID Serval
serval:BIB_73BDE1420885
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Currency Option Pricing within a Credible Target Zone
Périodique
Review of Futures Markets
Statut éditorial
Publié
Date de publication
1993
Volume
12
Numéro
2
Pages
323-346
Résumé
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.
Création de la notice
19/11/2007 11:33
Dernière modification de la notice
20/08/2019 15:31