Pricing options on trend-stationary currencies : applications to the Chinese yuan
Michael Mebane
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Mebane, Michael |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2015/2016, 4, p. 79-101
|
| Subject: | currency options | mean reversion | trend-stationary model | Chinese yuan (CNY) | derivatives | China | Renminbi | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Währungsderivat | Currency derivative | Devisenoption | Currency option | Mean Reversion | Mean reversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011578390