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...
