A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier
Year of publication: |
2015
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Authors: | Hertrich, Markus |
Published in: |
Swiss Journal of Economics and Statistics. - Heidelberg : Springer, ISSN 2235-6282. - Vol. 151.2015, 3, p. 227-260
|
Publisher: |
Heidelberg : Springer |
Subject: | Euro/Swiss franc floor | hedging | put-call parity | reflected geometric Brownian motion | risk-neutral parity |
Type of publication: | Article |
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Type of publication (narrower categories): | Article |
Language: | English |
Other identifiers: | 10.1007/BF03399417 [DOI] hdl:10419/186051 [Handle] RePEc:ses:arsjes:2015-III-2 [RePEc] |
Classification: | E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; F31 - Foreign Exchange ; G13 - Contingent Pricing; Futures Pricing ; G15 - International Financial Markets |
Source: |
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Hertrich, Markus, (2015)
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Kryzanowski, Lawrence, (2018)
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On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective
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