Matches in SemOpenAlex for { <https://semopenalex.org/work/W2141743998> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W2141743998 endingPage "962" @default.
- W2141743998 startingPage "951" @default.
- W2141743998 abstract "This article examines currency option pricing within a credible target zone arrangement where interventions at the boundaries push the exchange rate back into its fluctuation band. Valuation of such options is complicated by the requirement that the reflection mechanism should prevent the arbitrage opportunities that would arise if the exchange rate were to spend finite time on the boundaries. To prevent the latter, we superimpose instantaneously reflecting boundaries upon the familiar geometric Brownian motion (GBM) framework. We derive closed-form expressions for European call and put option prices and show that prices for the GBM model of Garman and Kohlhagen (1983 Garman, M. B. and Kohlhagen, S. W. 1983. Foreign currency option values. Journal of International Money and Finance, 2: 231–37. [Crossref], [Web of Science ®] , [Google Scholar]) arise as the limit case for infinitely wide bands. We also illustrate that taking account of boundaries is of considerable economic value as erroneously using the unbounded-domain model of Garman and Kohlhagen (1983 Garman, M. B. and Kohlhagen, S. W. 1983. Foreign currency option values. Journal of International Money and Finance, 2: 231–37. [Crossref], [Web of Science ®] , [Google Scholar]) easily overprices options by more than 100%." @default.
- W2141743998 created "2016-06-24" @default.
- W2141743998 creator A5034844522 @default.
- W2141743998 date "2013-06-01" @default.
- W2141743998 modified "2023-10-03" @default.
- W2141743998 title "Currency option pricing in a credible exchange rate target zone" @default.
- W2141743998 cites W1968906460 @default.
- W2141743998 cites W2008556354 @default.
- W2141743998 cites W2063664948 @default.
- W2141743998 cites W2063722265 @default.
- W2141743998 cites W2090763944 @default.
- W2141743998 cites W2132914850 @default.
- W2141743998 cites W2161582811 @default.
- W2141743998 cites W2163253068 @default.
- W2141743998 cites W2503537357 @default.
- W2141743998 cites W4240788980 @default.
- W2141743998 doi "https://doi.org/10.1080/09603107.2013.778945" @default.
- W2141743998 hasPublicationYear "2013" @default.
- W2141743998 type Work @default.
- W2141743998 sameAs 2141743998 @default.
- W2141743998 citedByCount "17" @default.
- W2141743998 countsByYear W21417439982013 @default.
- W2141743998 countsByYear W21417439982015 @default.
- W2141743998 countsByYear W21417439982016 @default.
- W2141743998 countsByYear W21417439982017 @default.
- W2141743998 countsByYear W21417439982019 @default.
- W2141743998 countsByYear W21417439982020 @default.
- W2141743998 countsByYear W21417439982021 @default.
- W2141743998 countsByYear W21417439982022 @default.
- W2141743998 countsByYear W21417439982023 @default.
- W2141743998 crossrefType "journal-article" @default.
- W2141743998 hasAuthorship W2141743998A5034844522 @default.
- W2141743998 hasBestOaLocation W21417439982 @default.
- W2141743998 hasConcept C10138342 @default.
- W2141743998 hasConcept C101615488 @default.
- W2141743998 hasConcept C106159729 @default.
- W2141743998 hasConcept C118368358 @default.
- W2141743998 hasConcept C119857082 @default.
- W2141743998 hasConcept C136264566 @default.
- W2141743998 hasConcept C141121606 @default.
- W2141743998 hasConcept C144237770 @default.
- W2141743998 hasConcept C160623529 @default.
- W2141743998 hasConcept C162324750 @default.
- W2141743998 hasConcept C186027771 @default.
- W2141743998 hasConcept C194483076 @default.
- W2141743998 hasConcept C2776291640 @default.
- W2141743998 hasConcept C2776988154 @default.
- W2141743998 hasConcept C2780378061 @default.
- W2141743998 hasConcept C41008148 @default.
- W2141743998 hasConcept C556758197 @default.
- W2141743998 hasConcept C68710425 @default.
- W2141743998 hasConceptScore W2141743998C10138342 @default.
- W2141743998 hasConceptScore W2141743998C101615488 @default.
- W2141743998 hasConceptScore W2141743998C106159729 @default.
- W2141743998 hasConceptScore W2141743998C118368358 @default.
- W2141743998 hasConceptScore W2141743998C119857082 @default.
- W2141743998 hasConceptScore W2141743998C136264566 @default.
- W2141743998 hasConceptScore W2141743998C141121606 @default.
- W2141743998 hasConceptScore W2141743998C144237770 @default.
- W2141743998 hasConceptScore W2141743998C160623529 @default.
- W2141743998 hasConceptScore W2141743998C162324750 @default.
- W2141743998 hasConceptScore W2141743998C186027771 @default.
- W2141743998 hasConceptScore W2141743998C194483076 @default.
- W2141743998 hasConceptScore W2141743998C2776291640 @default.
- W2141743998 hasConceptScore W2141743998C2776988154 @default.
- W2141743998 hasConceptScore W2141743998C2780378061 @default.
- W2141743998 hasConceptScore W2141743998C41008148 @default.
- W2141743998 hasConceptScore W2141743998C556758197 @default.
- W2141743998 hasConceptScore W2141743998C68710425 @default.
- W2141743998 hasIssue "11" @default.
- W2141743998 hasLocation W21417439981 @default.
- W2141743998 hasLocation W21417439982 @default.
- W2141743998 hasOpenAccess W2141743998 @default.
- W2141743998 hasPrimaryLocation W21417439981 @default.
- W2141743998 hasRelatedWork W1989666102 @default.
- W2141743998 hasRelatedWork W2103359917 @default.
- W2141743998 hasRelatedWork W2141743998 @default.
- W2141743998 hasRelatedWork W2265632957 @default.
- W2141743998 hasRelatedWork W3125204088 @default.
- W2141743998 hasRelatedWork W4353065556 @default.
- W2141743998 hasRelatedWork W4378174678 @default.
- W2141743998 hasRelatedWork W587258992 @default.
- W2141743998 hasRelatedWork W650711835 @default.
- W2141743998 hasRelatedWork W803082899 @default.
- W2141743998 hasVolume "23" @default.
- W2141743998 isParatext "false" @default.
- W2141743998 isRetracted "false" @default.
- W2141743998 magId "2141743998" @default.
- W2141743998 workType "article" @default.