Exchange rate shocks, currency options and the Siegel paradox
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- Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993.
"Realignment Risk and Currency Option Pricing in Target Zones,"
NBER Working Papers
4458, National Bureau of Economic Research, Inc.
- Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
- Dumas, B. & Jennergren, L.P. & Naslund, B., 1993. "Siegel's Paradox and Pricing of Currency Options," Weiss Center Working Papers 93-8, Wharton School - Weiss Center for International Financial Research.
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