On model robustness of the regime switching approach for pegged foreign exchange markets
Year of publication: |
2022
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Authors: | Zhang, Yunbo ; Drapeau, Samuel |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 7, p. 1371-1390
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Subject: | Calibration | FX markets | Option pricing | Pegged exchange rates | Regime switching | Wechselkurssystem | Exchange rate regime | Devisenmarkt | Foreign exchange market | Optionspreistheorie | Option pricing theory | Fester Wechselkurs | Fixed exchange rate | Volatilität | Volatility | Wechselkurspolitik | Exchange rate policy |
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