THE ERM REALIGNMENT PROBABILITIES: ESTIMATES USING OPTION PRICES

Allan M. Malz
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Allan M. Malz: Markets Group of the Federal Reserve Bank of New York, USA

Chapter 8 in Currency Options and Exchange Rate Economics, 1998, pp 138-156 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Crisis of the EMSMeasuring the Credibility of ERM Exchange RatesCurrency Option Prices in the Presence of Jump RiskEstimates of Realignment Probabilities Using Option PricesDataEstimation procedureThe Implied Distribution of Future Exchange Rates and Realignment ProbabilitiesConclusionsReferences

Date: 1998
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