On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective
Download full text from publisher
Other versions of this item:
- Markus Hertrich & Heinz Zimmermann, 2017. "On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(2-3), pages 567-578, March.
References listed on IDEAS
- Frédéric Bossens & Grégory Rayée & Nikos S. Skantzos & Griselda Deelstra, 2010.
"Vanna-Volga Methods Applied To Fx Derivatives: From Theory To Market Practice,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 13(08), pages 1293-1324.
- Fr'ed'eric Bossens & Gr'egory Ray'ee & Nikos S. Skantzos & Griselda Deelstra, 2009. "Vanna-Volga methods applied to FX derivatives : from theory to market practice," Papers 0904.1074, arXiv.org, revised May 2010.
- Satchell, Stephen, 2007. "Forecasting Expected Returns in the Financial Markets," Elsevier Monographs, Elsevier, edition 1, number 9780750683210.
- De Santis, Giorgio & Gerard, Bruno, 1998. "How big is the premium for currency risk?," Journal of Financial Economics, Elsevier, vol. 49(3), pages 375-412, September.
- Zhiguang Wang & Robert T. Daigler, 2011. "The performance of VIX option pricing models: Empirical evidence beyond simulation," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 31(3), pages 251-281, March.
- De Santis, Giorgio & Gerard, Bruno & Hillion, Pierre, 2003. "The relevance of currency risk in the EMU," Journal of Economics and Business, Elsevier, vol. 55(5-6), pages 427-462.
- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997.
" Empirical Performance of Alternative Option Pricing Models,"
Journal of Finance,
American Finance Association, vol. 52(5), pages 2003-2049, December.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm54, Yale School of Management.
- Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1997. "Empirical Performance of Alternative Option Pricing Models," Yale School of Management Working Papers ysm65, Yale School of Management.
- Bekaert, Geert & Gray, Stephen F., 1998.
"Target zones and exchange rates:: An empirical investigation,"
Journal of International Economics,
Elsevier, vol. 45(1), pages 1-35, June.
- Geert Bekaert & Stephen F. Gray, 1996. "Target Zones and Exchange Rates: An Empirical Investigation," NBER Working Papers 5445, National Bureau of Economic Research, Inc.
- Svensson, Lars E. O., 1992.
"The foreign exchange risk premium in a target zone with devaluation risk,"
Journal of International Economics,
Elsevier, vol. 33(1-2), pages 21-40, August.
- Svensson, L.E., 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," Papers 475, Stockholm - International Economic Studies.
- Svensson, Lars E O, 1991. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," CEPR Discussion Papers 494, C.E.P.R. Discussion Papers.
- Lars E.O. Svensson, 1990. "The Foreign Exchange Risk Premium in a Target Zone with Devaluation Risk," NBER Working Papers 3466, National Bureau of Economic Research, Inc.
- Ko, Bangwon & Shiu, Elias S.W. & Wei, Li, 2010. "Pricing maturity guarantee with dynamic withdrawal benefit," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 216-223, October.
- Markus Hertrich & Dirk Veestraeten, 2013. "Valuing Stock Options When Prices are Subject to a Lower Boundary: A Correction," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 889-890, September.
- Bergman, Yaacov Z., 1996. "Equilibrium asset price ranges," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 161-169.
- Dirk Veestraeten, 2008. "Valuing stock options when prices are subject to a lower boundary," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(3), pages 231-247, March.
- Rangvid, Jesper & Sorensen, Carsten, 2001. "Determinants of the implied shadow exchange rates from a target zone," European Economic Review, Elsevier, vol. 45(9), pages 1665-1696, October.
- Peter Breuer, 1999. "Central Bank Participation in Currency Options Markets," IMF Working Papers 99/140, International Monetary Fund.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hui, Cho-Hoi & Lo, Chi-Fai & Fong, Tom Pak-Wing, 2016. "Swiss franc's one-sided target zone during 2011–2015," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 54-67.
- Berhold, Kerstin & Stadtmann, Georg, 2017. "Who put the holes in the Swiss cheese? Currency crisis under appreciation pressure," Discussion Papers 391, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
- Hertrich Markus, 2016.
"The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone,"
Review of Economics,
De Gruyter, vol. 67(1), pages 91-120, May.
- Hertrich, Markus, 2015. "The Costs of Implementing a Unilateral One-Sided Exchange Rate Target Zone," MPRA Paper 67839, University Library of Munich, Germany.
- Markus Hertrich, 2015. "A Cautionary Note on the Put-Call Parity under an Asset Pricing Model with a Lower Reflecting Barrier," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 151(III), pages 227-260, September.
- Mirkov, Nikola & Pozdeev, Igor & Soderlind, Paul, 2016.
"Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions,"
Working Papers on Finance
1614, University of St. Gallen, School of Finance.
- Nikola Mirkov & Igor Pozdeev & Paul Söderlind, 2016. "Toward Removal of the Swiss Franc Cap: Market Expectations and Verbal Interventions," Working Papers 2016-10, Swiss National Bank.
- repec:gam:jrisks:v:5:y:2017:i:3:p:35-:d:103608 is not listed on IDEAS
- Michael Funke & Julius Loermann & Richhild Moessner, 2017. "The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?," BIS Working Papers 652, Bank for International Settlements.
More about this item
Keywordscurrency options; central banking; credibility; Euro/Swiss franc floor; Vanna-Volga method; barrier;
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-09-18 (All new papers)
- NEP-MAC-2015-09-18 (Macroeconomics)
- NEP-MON-2015-09-18 (Monetary Economics)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bsl:wpaper:2015/09. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (WWZ). General contact details of provider: http://edirc.repec.org/data/wwzbsch.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.