Realignment Risk and Currency Option Pricing in Target Zones
收藏NBER1993-09-01 更新2025-01-04 收录
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https://www.nber.org/papers/w4458
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资源简介：
This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment size.
提供机构：
美国国家经济研究局创建时间：
1993-09-01
