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Exchange rate intervention with options

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  • Zapatero, Fernando
  • Reverter, Luis F.

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  • Zapatero, Fernando & Reverter, Luis F., 2003. "Exchange rate intervention with options," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 289-306, April.
    • Handle: RePEc:eee:jimfin:v:22:y:2003:i:2:p:289-306
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    References listed on IDEAS

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    1. Jonathan Eaton & Stephen J. Turnovsky, 1984. "The Forward Exchange Market, Speculation, and Exchange Market Intervention," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 99(1), pages 45-69.
    2. Edison, Hali J. & Pauls, B. Dianne, 1993. "A re-assessment of the relationship between real exchange rates and real interest rates: 1974-1990," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 165-187, April.
    3. Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 06-83, Wharton School Rodney L. White Center for Financial Research.
    4. Mr. Peter Breuer, 1999. "Central Bank Participation in Currency Options Markets," IMF Working Papers 1999/140, International Monetary Fund.
    5. Orlin Grabbe, J., 1983. "The pricing of call and put options on foreign exchange," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 239-253, December.
    6. Mr. Peter M. Garber & Mr. Michael G. Spencer, 1994. "Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime," IMF Working Papers 1994/151, International Monetary Fund.
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Garman, Mark B. & Kohlhagen, Steven W., 1983. "Foreign currency option values," Journal of International Money and Finance, Elsevier, vol. 2(3), pages 231-237, December.
    9. Allan M. Malz, 1995. "Currency option markets and exchange rates: a case study of the U.S. dollar in March 1995," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 1(Jul).
    10. Mr. Evan C Tanner, 1998. "Deviations From Uncovered Interest Parity: A Global Guide to Where the Action Is," IMF Working Papers 1998/117, International Monetary Fund.
    11. Orlin J. Grabbe, "undated". "The Pricing of Call and Put Options on Foreign Exchange," Rodney L. White Center for Financial Research Working Papers 6-83, Wharton School Rodney L. White Center for Financial Research.
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    Cited by:

    1. Mr. Jorge I Canales Kriljenko & Mr. Cem Karacadag & Roberto Guimarães-Filho, 2003. "Official Intervention in the Foreign Exchange Market: Elements of Best Practice," IMF Working Papers 2003/152, International Monetary Fund.
    2. Suh, Sangwon & Zapatero, Fernando, 2008. "A class of quadratic options for exchange rate stabilization," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3478-3501, November.
    3. Hsiao, Yu-Ming & Pan, Sheng-Chieh & Wu, Po-Chin, 2012. "Does the central bank's intervention benefit trade balance? Empirical evidence from China," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 130-139.

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