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Exchange rate intervention with options

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  • Zapatero, Fernando
  • Reverter, Luis F.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 22 (2003)
    Issue (Month): 2 (April)
    Pages: 289-306

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    Handle: RePEc:eee:jimfin:v:22:y:2003:i:2:p:289-306

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    Web page: http://www.elsevier.com/locate/inca/30443

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Orlin J. Grabbe, . "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.
    2. 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).
    3. Peter M. Garber & Michael G. Spencer, 1994. "Foreign Exchange Hedging with Synthetic Options and the Interest Rate Defense of a Fixed Exchange Rate Regime," IMF Working Papers 94/151, International Monetary Fund.
    4. 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 637-54, May-June.
    5. 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.
    6. Peter Breuer, 1999. "Central Bank Participation in Currency Options Markets," IMF Working Papers 99/140, International Monetary Fund.
    7. 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.
    8. Jonathan Eaton & Stephen J. Turnovsky, 1983. "The Forward Exchange Market, Speculation, and Exchange Market Intervention," NBER Working Papers 1138, National Bureau of Economic Research, Inc.
    9. Orlin J. Grabbe, . "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.
    10. Evan Tanner, 1998. "Deviations From Uncovered Interest Parity," IMF Working Papers 98/117, International Monetary Fund.
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    Cited by:
    1. 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.
    2. Jorge Iván Canales Kriljenko & Cem Karacadag & Roberto Pereira Guimarães, 2003. "Official Intervention in the Foreign Exchange Market," IMF Working Papers 03/152, International Monetary Fund.
    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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