A jump-diffusion model for exchange rates in a target zone

Statistica Neerlandica

Volumn 55, Issue 3, 2001, Pages 270-300

  De Jong, F ^a   Drost, F C ^b   Werker, B J M ^b  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

Currency option pricing; Exchange rate target zones

Indexed keywords

EID: 0035539279     PISSN: 00390402     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9574.00170     Document Type: Article

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