Exchange Rate Barriers, Target Zones and Option Pricing
Posted: 7 Feb 2007 Last revised: 31 Jan 2011
Date Written: 2007
Abstract
This research project contributes to the theory of exchange rate zones, following Krugman's iconic 1991 paper. Topics covered include: discrete and continuous stochastic models, target zone and fx barrier life expectancy, speculative and "secular" attacks, multiband systems, credibility, government intervention strategy and exchange rate policies, option pricing and barrier lookback options.
Keywords: exchange rate, target zones, speculative attacks, secular attacks, option pricing, reserves, stochastic models, life expectancy, barrier lookback option
JEL Classification: F41, G12, B41, C60
Suggested Citation: Suggested Citation
Macey-Dare, Rupert, Exchange Rate Barriers, Target Zones and Option Pricing (2007). Available at SSRN: https://ssrn.com/abstract=961550 or http://dx.doi.org/10.2139/ssrn.961550
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.