The valuation of options on foreign exchange rate in a target zone
Guangli Xu, Shiyu Song and Yongjin Wang
| Year of publication: |
May 2016
|
|---|---|
| Authors: | Xu, Guangli ; Song, Shiyu ; Wang, Yongjin |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 3, p. 1-19
|
| Subject: | Skew CIR | foreign exchange rate | target zone | transition density | first hitting time | spectral expansion | barrier and one-touch options | Wechselkurspolitik | Exchange rate policy | Optionspreistheorie | Option pricing theory | Wechselkurs | Exchange rate | Zielzone | Target zone |