On model robustness of the regime switching approach for pegged foreign exchange markets-Reference-Cited by-同舟云学术

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On model robustness of the regime switching approach for pegged foreign exchange markets

Published:2022-04-13 Issue:7 Volume:22 Page:1371-1390
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zhang Yunbo¹,Drapeau Samuel²

Affiliation:

1. School of Mathematical Sciences, Shanghai Jiao Tong University, Shanghai, People's Republic of China

2. School of Mathematical Sciences and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai, People's Republic of China

Funder

National Science Foundation of China

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2054356

Reference26 articles.

1. Enlargement of Filtration with Finance in View

2. Credit Risk: Modeling, Valuation and Hedging

3. Bounded Brownian Motion

4. FX options in target zones

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