scholarly journals Intramarginal Intervention in the EMS and the Target-Zone Model of Exchange-Rate Behavior

10.3386/w3670 ◽  
1991 ◽  
Author(s):  
Kathryn Dominguez ◽  
Peter Kenen
Keyword(s):  
Exchange Rate ◽  
Zone Model ◽  
Target Zone ◽  
Rate Behavior

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.

The Target Zone Model, Non‐Linearity and Mean Reversion: is the Honeymoon Really Over?

1999 ◽  
Vol 109 (454) ◽  
pp. 96-110 ◽  
Author(s):  
Matteo Iannizzotto ◽  
Mark P. Taylor
Keyword(s):  
Mean Reversion ◽  
Zone Model ◽  
Target Zone
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