The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach. Issue 1 (2nd January 2019)

• Record Type: Journal Article
• Authors: Hanke, M.; Poulsen, R.; Weissensteiner, A.
• Is Part Of: Quantitative finance. Volume 19:Issue 1(2019)
• Page Start: 1
• Page End: 11
• Publication Date: 2019-01-02
• Subjects: Finance -- Periodicals; Business mathematics -- Periodicals; Finance -- Mathematical models -- Periodicals; Investments -- Mathematics -- Periodicals; Economics -- Periodicals; Finances -- Modèles mathématiques -- Périodiques; 332.015118
• DOI: 10.1080/14697688.2018.1489137
• Languages: English
• ISSNs: 1469-7688

Abstract

Abstract : Our model treating the rate bound in terms of a put option accurately predicts the CHF/EUR exchange rate following the removal of the lower bound of 1.20