DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

DOI10.1111/j.1467-9965.2006.00304.xzbMath1186.91232OpenAlexW1968906460MaRDI QIDQ5422634

Kristian Stegenborg Larsen

Publication date: 29 October 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00304.x

zbMATH Keywords

eigenfunctionscurrency optionsoptimal estimationexchange rateestimating functionsJacobi diffusion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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Cites Work

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• Statistical analysis of counting processes
• Estimating equations based on eigenfunctions for a discretely observed diffusion process
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• A Jump‐diffusion Model for Exchange Rates in a Target Zone

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