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Realignment Risk and Currency Option Pricing in Target Zones

Bernard DumasLars Peter JennergrenBertil Näslund

出版	National Bureau of Economic Research, 1993
ISBN	28541847859782854184785
URL	http://books.google.com.hk/books?id=0VOyAAAAIAAJ&hl=&source=gbs_api

註釋

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. The realignment mechanism is such that (except in cases where a speculative attack occurs) no jump in fundamental is needed to accompany the jump in the exchange rate. A risk neutral valuation of currency options is constructed. Some properties of option values under realignment risk are illustrated by numerical results.