A class of quadratic options for exchange rate stabilization

DOI10.1016/J.JEDC.2007.12.005MaRDI QIDQ2654411zbMATH OpenOpenAlexFDO

Authors Sangwon Suh, Fernando Zapatero

Publication date 19 January 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2007.12.005

zbMATH Keywords

central bank interventionhedging strategiesoptions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

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Cites work

• The pricing of options and corporate liabilities

Cited in

(3)

• Devaluation of fixed exchange rates: Optimal strategy in the presence of speculation
• Nonlinear relationship based on range quadratic loss function
• Valuation of power options under Heston's stochastic volatility model

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