A Jump‐diffusion Model for Exchange Rates in a Target Zone

DOI10.1111/1467-9574.00170zbMath1075.91533OpenAlexW2161271757MaRDI QIDQ4469534

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Publication date: 15 June 2004

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://pure.uvt.nl/portal/en/publications/a-jumpdiffusion-model-for-exchangerates-in-a-target-zone(54ce3db4-cdc3-48ad-b4c8-1ff4a3c8e611).html

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Microeconomic theory (price theory and economic markets) (91B24)

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