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• W3121995870 abstract "This paper extends the Krugman target zone model by including a realignment mechanism. Various properties of that realignment mechanism are discussed. The movement of the exchange rate is governed both by a Wiener process on fundamental and by a Poisson jump process with endogenous realignment size. The realignment mechanism is such that (except in cases where a speculative attack occurs) no jump in fundamental is needed to accompany the jump in the exchange rate. A risk neutral valuation of currency options is constructed. Some properties of option values under realignment risk are illustrated by numerical results." @default.
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• W3121995870 date "1995-10-01" @default.
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• W3121995870 title "Realignment risk and currency option pricing in target zones" @default.
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• W3121995870 doi "https://doi.org/10.1016/0014-2921(95)00009-3" @default.
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