A class of quadratic options for exchange rate stabilization

DOI10.1016/j.jedc.2007.12.005zbMath1181.91210OpenAlexW3123267277MaRDI QIDQ2654411

Fernando Zapatero, Sangwon Suh

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.12.005

zbMATH Keywords

optionshedging strategiescentral bank intervention

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

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Cites Work

• The Pricing of Options and Corporate Liabilities