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Using Option Prices to Estimate Realignment Probabilities in the European Monetary System
Language: en
Pages: 50
Authors: Allan M. Malz
Categories:
Type: BOOK - Published: 2007 - Publisher:

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Risk reversals are a combination of options from which price information about market expectations of future exchange rates can be extracted. This paper describ
Using Option Prices to Estimate Realignment Probabilities in the European Monetary System
Language: en
Pages: 60
Authors: Allan M. Malz
Categories: Foreign exchange
Type: BOOK - Published: 1995 - Publisher:

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Realignment Risk and Currency Option Pricing in Target Zones
Language: en
Pages: 56
Authors: Bernard Dumas
Categories: Currency convertibility
Type: BOOK - Published: 1993 - Publisher:

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This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movem
Currency Options And Exchange Rate Economics
Language: en
Pages: 218
Authors: Zhaohui Chen
Categories: Business & Economics
Type: BOOK - Published: 1998-04-21 - Publisher: World Scientific

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This volume is a collection of classical and recent empirical studies of currency options and their implications for issues of exchange rate economics, such as
A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Language: en
Pages: 33
Authors: Mr.Kevin C. Cheng
Categories: Business & Economics
Type: BOOK - Published: 2010-08-01 - Publisher: International Monetary Fund

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Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral