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Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark

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  • Malz, Allan M.

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  • Malz, Allan M., 1996. "Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 717-748, October.
  • Handle: RePEc:eee:jimfin:v:15:y:1996:i:5:p:717-748
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    References listed on IDEAS

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    1. Alberto Giovannini, 1990. "European Monetary Reform: Progress and Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 21(2), pages 217-292.
    2. Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Currency Option Pricing in Credible Target Zones," NBER Working Papers 4522, National Bureau of Economic Research, Inc.
    3. Chen, Zhaohui & Giovannini, Alberto, 1992. "Target zones and the distribution of exchange rates: An estimation method," Economics Letters, Elsevier, vol. 40(1), pages 83-89, September.
    4. Susan M. Collins, 1992. "The Expected Timing of EMS Realignments: 1979-83," NBER Working Papers 4068, National Bureau of Economic Research, Inc.
    5. Maurice Obstfeld, 1994. "The Logic of Currency Crises," NBER Working Papers 4640, National Bureau of Economic Research, Inc.
    6. Rose, Andrew K., 1993. "Sterling's ERM credibility : Did the dog bark in the night?," Economics Letters, Elsevier, vol. 41(4), pages 419-427.
    7. De Vries, C.G. & Leuven, K.U., 1994. "Stylized Facts of Nominal Exchange Rate Returns," Papers 94-002, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
    8. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    9. Barry Eichengreen & Charles Wyplosz, 1993. "The Unstable EMS," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 24(1), pages 51-144.
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