OPTIONS ON EXCHANGE RATES IN TARGET ZONES

Jose Campa and P. H. Kevin Chang
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P. H. Kevin Chang: University of Southern California, USA

Chapter 9 in Currency Options and Exchange Rate Economics, 1998, pp 157-182 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionNo-Arbitrage Conditions Under Target ZonesIntra-ERM Option Price DataEmpirical Implications of ERM Cross-rate Options, 1990–1995Measuring the “Intensity of Realignment”Macroeconomic Determinants of the “Intensity of Realignment”Summary and ConclusionAppendix: Algebraic Derivation of Minimum Intensity of RealignmentReferences

Date: 1998
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