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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...
Persistent link: https://www.econbiz.de/10012474420
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment...
Persistent link: https://www.econbiz.de/10012474488
Persistent link: https://www.econbiz.de/10005240105
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Persistent link: https://www.econbiz.de/10005339267
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...
Persistent link: https://www.econbiz.de/10005718112
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment...
Persistent link: https://www.econbiz.de/10005720785
Persistent link: https://www.econbiz.de/10005287453
Persistent link: https://www.econbiz.de/10005270708