Diffusion models for exchange rates in a target zone

Mathematical Finance

Volumn 17, Issue 2, 2007, Pages 285-306

  Larsen, Kristian Steoenborg ^a   Sørensen, Michael ^b  

^a Nykredit   (Denmark)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Currency options; Eigenfunctions; Estimating functions; Exchange rate; Jacobi diffusion; Optimal estimation

Indexed keywords

EID: 33947315969     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2006.00304.x     Document Type: Article

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