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A sávos árfolyamú deviza megközelítése opciók segítségével
[The option-based description of the exchange rate in a target-zone system]

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  • Naszódi, Anna

Abstract

A cikk legfontosabb állítása, hogy a sávos árfolyamrendszer devizája leírható egy összetett pozícióval, amelynek a három alkotóeleme: egy lebegő árfolyam-rendszerbeli deviza, egy long put opció és egy short call opció. Az opciók alaptermékének meghatározása nem kézenfekvő, így egy, a cikkben ismertetett egyszerű opciós modell nem mutatja jól, hogy milyen opciós jogok bújnak meg a sávos árfolyamrendszer devizájában. A helyes modell leírása után a szerző bemutatja, hogyan lehet a lebegő árfolyam folyamatából a sávos árfolyam folyamatát meghatározni.

Suggested Citation

  • Naszódi, Anna, 2002. "A sávos árfolyamú deviza megközelítése opciók segítségével [The option-based description of the exchange rate in a target-zone system]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(1), pages 25-44.
    • Handle: RePEc:ksa:szemle:521
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    References listed on IDEAS

    as
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    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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