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Exchange rate intervention with options

Author

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  • Zapatero, Fernando
  • Reverter, Luis F.

Abstract

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Suggested Citation

  • 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

    as
    1. 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.
    2. Evan C Tanner, 1998. "Deviations From Uncovered Interest Parity; A Global Guide to Where the Action Is," IMF Working Papers 98/117, International Monetary Fund.
    3. Jonathan Eaton & Stephen J. Turnovsky, 1984. "The Forward Exchange Market, Speculation, and Exchange Market Intervention," The Quarterly Journal of Economics, Oxford University Press, vol. 99(1), pages 45-69.
    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 637-654, 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 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.
    8. 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).
    9. 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.
    10. 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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    Citations

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    Cited by:

    1. 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.
    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. Jorge I Canales Kriljenko & Cem Karacadag & Roberto Pereira GuimarĂ£es, 2003. "Official Intervention in the Foreign Exchange Market; Elements of Best Practice," IMF Working Papers 03/152, International Monetary Fund.

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