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Options On Exchange Rates In Target Zones

In: Currency Options And Exchange Rate Economics

Author

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  • José Manuel Campa

    (Stern School of Business, New York University, USA)

  • P. H. Kevin Chang

    (University of Southern California, USA)

Abstract

The following sections are included:IntroductionNo-Arbitrage Conditions Under Target ZonesIntra-ERM Option Price DataEmpirical Implications of ERM Cross-rate Options, 1990–1995Measuring the “Intensity of Realignment”Macroeconomic Determinants of the “Intensity of Realignment”Summary and ConclusionAppendix: Algebraic Derivation of Minimum Intensity of RealignmentReferences

Suggested Citation

  • José Manuel Campa & P. H. Kevin Chang, 1998. "Options On Exchange Rates In Target Zones," World Scientific Book Chapters, in: Zhaohui Chen (ed.), Currency Options And Exchange Rate Economics, chapter 9, pages 157-182, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812812551_0009
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    Cited by:

    1. Driessen, Joost & Perotti, Enrico, 2011. "Confidence building on Euro convergence: Evidence from currency options," Journal of International Money and Finance, Elsevier, vol. 30(3), pages 474-491, April.

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