Setting the limits on a flexible forward

Ja Schnabel and E Roumi

Omega, 1991, vol. 19, issue 5, 421-428

Abstract: This paper discusses flexible forward contracts in foreign exchange. Two models are developed for specifying the upper and lower limits of the exchange rate band which such contracts require. The properties of these limits are illustrated via simulations with proofs provided in an appendix.

Keywords: foreign; exchange; options; financial; innovation; flexible; forward (search for similar items in EconPapers)
Date: 1991
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