scholarly journals Foreign Exchange Interventions Under a One-Sided Target Zone Regime and the Swiss Franc

2020 ◽  
Author(s):  
Markus Hertrich
Keyword(s):  
Foreign Exchange ◽  
Swiss Franc ◽  
Target Zone

THE VALUATION OF OPTIONS ON FOREIGN EXCHANGE RATE IN A TARGET ZONE

2016 ◽  
Vol 19 (03) ◽  
pp. 1650020 ◽  
Author(s):  
GUANGLI XU ◽  
SHIYU SONG ◽  
YONGJIN WANG
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Spectral Expansion ◽  
Foreign Exchange Rate ◽  
Target Zone ◽  
Cir Model ◽  
Rate Behavior ◽  
Us Dollar ◽  
Real Market ◽  
The One

This paper derives a simple model to analyze foreign exchange rate behavior under a target zone regime. From the real market data of exchange rate of US Dollar (USD) to Hong Kong Dollar (HKD) (USD/HKD), somewhat surprisingly, we find that some of the observations fall outside the stated range. Consequently, a so-called skew CIR model for this exchange rate which has a probability of exceeding the stated boundary is developed. A spectral expansion approach is used to analyze the model. The valuation of the barrier and the one-touch options for the derivative written on the exchange rate is studied in the end.

scholarly journals Informal one‐sided target zone model and the Swiss franc

2018 ◽  
Vol 26 (5) ◽  
pp. 1130-1153
Author(s):  
Yu‐Fu Chen ◽  
Michael Funke ◽  
Richhild Moessner
Keyword(s):  
Swiss Franc ◽  
Zone Model ◽  
Target Zone

Actual Problems of Economic Policy

2003 ◽  
pp. 23-38 ◽  
Author(s):  
M. Ershov
Keyword(s):  
Economic Growth ◽  
Economic Policy ◽  
Foreign Exchange ◽  
World Economy ◽  
Domestic Economy ◽  
The World ◽  
Exchange Policy ◽  
Effective Integration

At present Russia faces the task of great importance - effective integration into the world economy. The success of this process largely depends on the strength of the domestic economy and stable economic growth. To attain such a goal certain changes in economic approaches are required which imply more active, focused and concerted steps in the monetary, fiscal and foreign exchange policy.

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