Valuing Foreign Exchange Rate Derivatives with a Bounded Exchange Process †

@inproceedings{Ingersoll1995ValuingFE,
  title={Valuing Foreign Exchange Rate Derivatives with a Bounded Exchange Process †},
  author={Jonathan E. Ingersoll and JR. Jonathan. Ingersoll},
  year={1995}
}
Foreign exchange rates have been subjected to periods of tighter or looser controls as various political and economic forces have waxed and waned. When currencies were backed by gold there were fixed exchange rates. In 1973 floating exchange rates were adopted though many countries did try to keep their currency values within certain ranges. More recently the European Economic Community formalized this practice. Free-floating exchange rates might be well characterized by the lognormal… CONTINUE READING
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