TY  - BOOK
AU  - Dumas,Bernard
AU  - Jennergren,L.Peter
AU  - Naslund,Bertil
ED  - National Bureau of Economic Research.
TI  - Currency Option Pricing in Credible Target Zones
T2  - NBER working paper series
PY  - 1993///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - November 1993; Hardcopy version available to institutional subscribers
N2  - 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
UR  - https://www.nber.org/papers/w4522
UR  - http://dx.doi.org/10.3386/w4522
ER  -