Currency Option Pricing in Credible Target Zones

Bernard Dumas (), Peter Jennergren and Bertil Naslund

No 4522, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper develops a model for valuing options on a currency which is maintained within a band. The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone. Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.

JEL-codes: F31 F33 (search for similar items in EconPapers)
Date: 1993-11
Note: AP IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published as Review of Futures Markets, Vol. 12, No. 2, pp. 323-346. (April 1992)

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Related works:
Working Paper: Currency Option Pricing in Credible Target Zones (1993)
Working Paper: Currency option pricing in credible target zones (1992)
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