An exact pricing formula for European call options on zero-coupon bonds in the run-up to a currency union
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References listed on IDEAS
- David Sondermann & Mark Trede & Bernd Wilfling, 2011. "Estimating the degree of interventionist policies in the run-up to EMU," Applied Economics, Taylor & Francis Journals, vol. 43(2), pages 207-218.
- De Grauwe, Paul & Dewachter, Hans & Veestraeten, Dirk, 1999. "Price dynamics under stochastic process switching: some extensions and an application to EMU1," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 195-224, February.
More about this item
KeywordsInterest-rate dynamics; valuation of interest-rate options; currency union;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-13 (All new papers)
- NEP-CFN-2010-02-13 (Corporate Finance)
- NEP-MON-2010-02-13 (Monetary Economics)
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