FX options in target zones-Reference-Cited by-同舟云学术

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FX options in target zones

Published:2016-11-23 Issue:10 Volume:17 Page:1477-1486
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Carr Peter P.¹,Kakushadze Zura²³

Affiliation:

1. Department of Finance and Risk Engineering, NYU Tandon School of Engineering, 12 MetroTech Center, Brooklyn, NY, 11201USA.

2. Quantigic® Solutions LLC, 1127 High Ridge Road #135, Stamford, CT, 06905USA.

3. Business School & School of Physics, Free University of Tbilisi, 240, David Agmashenebeli Alley, Tbilisi, 0159Georgia.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1238500

Reference97 articles.

1. The Distribution of Realized Exchange Rate Volatility

2. On the mean-reverting properties of target zone exchange rates

3. Interest rate parity and foreign exchange risk premia in the ERM

4. Target zone modelling and estimation for European Monetary System exchange rates

5. Exchange rate dynamics in a target zone—A heterogeneous expectations approach

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Exchange rate dynamics with crash risk and interventions;International Review of Economics & Finance;2022-05

2. On model robustness of the regime switching approach for pegged foreign exchange markets;Quantitative Finance;2022-04-13

3. Protecting pegged currency markets from speculative investors;Mathematical Finance;2021-06-15

4. Model Robustness of the Regime Switching Approach for the Usd-Hkd Pegged Foreign Exchange Market;SSRN Electronic Journal;2021

5. Constant elasticity of variance models with target zones;Physica A: Statistical Mechanics and its Applications;2020-01

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