Derivative pricing based on the exchange rate in a target zone with realignment (Q3100995)
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scientific article; zbMATH DE number 5976538
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| English | Derivative pricing based on the exchange rate in a target zone with realignment |
scientific article; zbMATH DE number 5976538 |
Statements
DERIVATIVE PRICING BASED ON THE EXCHANGE RATE IN A TARGET ZONE WITH REALIGNMENT (English)
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22 November 2011
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target zone exchange rate
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currency derivative pricing
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bounded diffusion
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Markov chain
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realignment
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Jacobi diffusion
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0.8313282132148743
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0.8043271899223328
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0.7968767881393433
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0.7930326461791992
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0.7715734243392944
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