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The effectiveness of the FX market interventions of the Bundesbank during the Louvre period : an options-based analysis

Pierdzioch, Christian - 2000

currency options are employed to recover the impact of interventions on the variability of exchange rates. A contingent claims … valuation framework allowing to highlight the implications of infrequent interventions for the valuation of options on foreign …

Persistent link: https://www.econbiz.de/10011476547

The role of a changing market environment for credit default swap pricing

Leppin, Julian S.; Reitz, Stefan - 2014

This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...

Persistent link: https://www.econbiz.de/10010384174

Noise traders' trigger rates, FX options, and smiles

Pierdzioch, Christian - 2000

the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts …

Persistent link: https://www.econbiz.de/10011476532