作者：Disney, R
作者单位：University of London; Queen Mary University London
作者：Campa, JM; Chang, PHK
作者单位：New York University; University of Southern California
摘要：This paper uses data on over-the-counter options between the mark and the pound, lira, French franc, and peseta to investigate the credibility of exchange I ate target zones within the ERM. We compare empirical implications for the relation between option prices and the spot's position within the band for three classes of target zone models: those with full credibility, those with exogenous realignment risk, and those with endogenous realignment risk. Empirically, implied volatility from these...
作者：De Vries, CG
作者单位：Tinbergen Institute; Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
作者：Black, J
作者单位：Aberystwyth University
作者：Thoburn, J
作者单位：University of East Anglia
