TY  - JOUR
AU  - Dumas,Bernard
AU  - Jennergren,L. Peter
AU  - Naslund,Bertil
TI  - Currency Option Pricing in Credible Target Zones
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4522
PY  - 1993
Y2  - November 1993
UR  - http://www.nber.org/papers/w4522
L1  - http://www.nber.org/papers/w4522.pdf
N1  - Author contact info:
Bernard Dumas
INSEAD
boulevard de Constance
77305 Fontainebleau Cedex
FRANCE
Tel: +33 1 60 72 43 73
Fax:  +33 1 60 72 40 50
E-Mail: bernard.dumas@insead.edu
AB  - 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.
ER  -