DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT

DOI10.1142/S0219024911006796zbMath1282.91321OpenAlexW3125850281MaRDI QIDQ3100995

Xuewei Yang, Li Jun Bo, Yong Jin Wang

Publication date: 22 November 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024911006796

zbMATH Keywords

Markov chainbounded diffusionrealignmentJacobi diffusioncurrency derivative pricingtarget zone exchange rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Constant elasticity of variance models with target zones ⋮ On pricing barrier control in a regime-switching regulated market

Cites Work

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• Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Theories of savings and economic growth
• Nonparametric Pricing of Interest Rate Derivative Securities
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

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