Currency Option Pricing within a Credible Target Zone

Dumas, B., Jennergren, L. P., Naslund, B.,

Titre

Currency Option Pricing within a Credible Target Zone

Type

article

Institution

Externe

Périodique

Review of Futures Markets

Auteur(s)

Dumas, B., Jennergren, L. P., Naslund, B.,

Auteure/Auteur

Liens vers les personnes

Dumas, Bernard

Statut éditorial

Publié

Date de publication

1993

Volume

12

Numéro

2

Première page

323

Dernière page/numéro d’article

346

Résumé

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.

PID Serval

serval:BIB_73BDE1420885

Permalien

https://iris.unil.ch/handle/iris/200193

Date de création

2007-11-19T09:33:33.035Z

Date de création dans IRIS

2025-05-21T02:35:46Z