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Currency Option Pricing in Credible Target Zones
Bernard Dumas
Lars Peter Jennergren
Bertil Näslund
出版
National Bureau of Economic Research
, 1993
ISBN
2854184491
9782854184495
URL
http://books.google.com.hk/books?id=I1ayAAAAIAAJ&hl=&source=gbs_api
註釋
This paper develops a model for valuing options on a currency which is maintained within a band. The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone. Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.