Derivative pricing based on the exchange rate in a target zone with realignment
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Publication:3100995
DOI10.1142/S0219024911006796zbMATH Open1282.91321OpenAlexW3125850281MaRDI QIDQ3100995FDOQ3100995
Authors: Xuewei Yang, Lijun Bo, Yongjin Wang 
Publication date: 22 November 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006796
Recommendations
Markov chainbounded diffusionrealignmentJacobi diffusioncurrency derivative pricingtarget zone exchange rate
Cites Work
- DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
- Title not available (Why is that?)
- Title not available (Why is that?)
- Nonparametric Pricing of Interest Rate Derivative Securities
- Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
- The density of bounded diffusions
- Lookback options and diffusion hitting times: a spectral expansion approach
- Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
- Theories of savings and economic growth
Cited In (7)
- The valuation of options on foreign exchange rate in a target zone
- Pricing derivatives in zone model
- On pricing barrier control in a regime-switching regulated market
- Constant elasticity of variance models with target zones
- A Jump‐diffusion Model for Exchange Rates in a Target Zone
- DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
- Valuing foreign exchange rate derivatives with a bounded exchange process
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