The British pound left the ERM on 16 September 1992 after a period of turbulence. UK monetary policy soon shifted to … summer and autumn of 1992. The results show, among other things, how various policy decisions affected the market …

strike price in a parabolic shape that is often called the volatility 'smile.' My objective in this paper is to identify … procedure. I parameterize the underlying exchange rate process as a mixture of log-normals, price the options using Monte Carlo … methods, and compare these simulated price 'moments' to the market data. This process switching model appears to be quite …