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The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities
(23.10.2017)
BOFIT Discussion Papers 15/2017
BOFIT Discussion Papers 15/2017
In line with the deepening of the derivative foreign-exchange market in Hong Kong, we recover risk-neutral probability densities for future US dollar/offshore renminbi exchange rates as implied by exchange rate option ...