Derivative pricing based on the exchange rate in a target zone with realignment

DOI10.1142/S0219024911006796MaRDI QIDQ3100995zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chainbounded diffusionrealignmentJacobi diffusioncurrency derivative pricingtarget zone exchange rate

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
• Target zones and small realignments
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Variable Probability of Realignment in a Target Zone
• The valuation of options on foreign exchange rate in a target zone

Cites work

• scientific article; zbMATH DE number 3736679 (Why is no real title available?)
• scientific article; zbMATH DE number 490142 (Why is no real title available?)
• A Jump‐diffusion Model for Exchange Rates in a Target Zone
• Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese yuan
• DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE
• Lookback options and diffusion hitting times: a spectral expansion approach
• Nonparametric Pricing of Interest Rate Derivative Securities
• Stochastic Devaluation Risk and the Empirical Fit of Target-Zone Models
• The density of bounded diffusions
• 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

This page was built for publication: Derivative pricing based on the exchange rate in a target zone with realignment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100995)