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Setting the limits on a flexible forward

Author

Listed:
  • Schnabel, JA
  • Roumi, E

Abstract

This paper discusses flexible forward contracts in foreign exchange. Two models are developed for specifying the upper and lower limits of the exchange rate band which such contracts require. The properties of these limits are illustrated via simulations with proofs provided in an appendix.

Suggested Citation

  • Schnabel, JA & Roumi, E, 1991. "Setting the limits on a flexible forward," Omega, Elsevier, vol. 19(5), pages 421-428.
    • Handle: RePEc:eee:jomega:v:19:y:1991:i:5:p:421-428
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    Cited by:

    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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