@techreport{NBERw4522,
 title = "Currency Option Pricing in Credible Target Zones",
 author = "Bernard Dumas and L. Peter Jennergren and Bertil Naslund",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "4522",
 year = "1993",
 month = "November",
 URL = "http://www.nber.org/papers/w4522",
 abstract = {This paper develops a model for valuing options on a currency which is maintained within a band.  The starting point of our model is the well known Krugman model for exchange-rate behavior within a target zone.  Results from model runs provide insight into evidence reported by other authors of mispricing of currency options by extensions of the Black-Scholes model.},
}