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Preface
Aase, Knut K.; Berglund, Tom; Jennergren, L. Peter; … - In: Scandinavian Journal of Management 9 (1993) Supplement 1, pp. 1-1
Persistent link: https://www.econbiz.de/10009217820
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Pricing currency options in target zone regime: Some consequences of state-dependent realignment
Berglund, Tom; Ringbom, Staffan - In: Scandinavian Journal of Management 9 (1993) Supplement 1, pp. 57-57
In this paper the pricing of currency options in a target zone model is discussed. The movement of the currency index is a product of the movement within the target zone and jumps in the target zone itself in the form of re- or devaluations. The probability of a re- or devaluation is modelled as...
Persistent link: https://www.econbiz.de/10009217918