Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options

ZEW Discussion Paper
ZEW Discussion Paper

Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options

Kähler, J. and V. Marnet (1993), Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options, ZEW Discussion Paper No. 93-03, Mannheim, published in: Econometric Analysis of Financial Markets, Kaehler and Kugler, eds, Physica.

Authors J. Kähler // V. Marnet