Hui, Cho-Hoi; Lo, Chi-Fai; Chung, Tsz-Kin - Hong Kong Monetary Authority - 2008
This paper proposes a path-dependent approach for estimating maximum appreciations of the renminbi expected by the market based on first-passage-time distributions. Using market data of the renminbi spot exchange rates, non-deliverable forward rates and currency option prices from 21 July 2005...