Currency Option Pricing in Credible Target Zones /
Dumas, Bernard.
Currency Option Pricing in Credible Target Zones / Bernard Dumas, L. Peter Jennergren, Bertil Naslund. - Cambridge, Mass. National Bureau of Economic Research 1993. - 1 online resource: illustrations (black and white); - NBER working paper series no. w4522 . - Working Paper Series (National Bureau of Economic Research) no. w4522. .
November 1993.
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 mispricing of currency options by extensions of the Black-Scholes model.
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Mode of access: World Wide Web.
Currency Option Pricing in Credible Target Zones / Bernard Dumas, L. Peter Jennergren, Bertil Naslund. - Cambridge, Mass. National Bureau of Economic Research 1993. - 1 online resource: illustrations (black and white); - NBER working paper series no. w4522 . - Working Paper Series (National Bureau of Economic Research) no. w4522. .
November 1993.
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 mispricing of currency options by extensions of the Black-Scholes model.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.