On model robustness of the regime switching approach for pegged foreign exchange markets

DOI10.1080/14697688.2022.2054356zbMath1495.91118OpenAlexW4223949102MaRDI QIDQ5092650

Samuel Drapeau, Yunbo Zhang

Publication date: 22 July 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2054356

zbMATH Keywords

option pricingregime switchingcalibrationFX marketspegged exchange rates

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

Cites Work

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• Valuing foreign exchange rate derivatives with a bounded exchange process
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• Option pricing in the presence of natural boundaries and a quadratic diffusion term
• On Models of Default Risk
• Enlargement of Filtration with Finance in View
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Pricing and hedging performance on pegged FX markets based on a regime switching model
• PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

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