Did Option Prices Predict the ERM Crises?
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- Bronka Rzepkowski, 2001. "Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate," Working Papers 2001-03, CEPII research center.
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Keywordsdevaluation; ERM; implied distribution; options; volatility smile;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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