Yunbo Zhang

Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences

Dongchuan Road 800

Shanghai, Shanghai

China

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Scholarly Papers (1)

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On Model Robustness of the Regime Switching Approach for Pegged Foreign Exchange Markets

Number of pages: 25 Posted: 17 Mar 2021 Last Revised: 08 Sep 2021
Yunbo Zhang and Samuel Drapeau
Shanghai Jiao Tong University (SJTU) - School of Mathematical Sciences and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
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Abstract:

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FX Markets, Pegged Exchange Rate, USD-HKD, EUR-CHF, Regime Switching, Option Pricing, Calibration