𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A Jump-diffusion Model for Exchange Rates in a Target Zone

✍ Scribed by F. De Jong; F. C. Drost; B. J. M. Werker


Book ID
108542450
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
502 KB
Volume
55
Category
Article
ISSN
0039-0402

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Exchange rate target zone models: a Baye
✍ Kai Li 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 356 KB

This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation target zone model that incorporates stochastic realignment risk. Using FF/DM and IL/DM exchange rate data, we ®nd that the si

Pricing American exchange options in a j
✍ Snorre Lindset 📂 Article 📅 2007 🏛 John Wiley and Sons 🌐 English ⚖ 185 KB

## Abstract A way to estimate the value of an American exchange option when the underlying assets follow jump‐diffusion processes is presented. The estimate is based on combining a European exchange option and a Bermudan exchange option with two exercise dates by using Richardson extrapolation as p