Abstract
This paper analysis dynamics of JPY/USD and USD/EUR currency option RND (Risk-Neutral Density) function and moments during CNY realignment. Empirical study shows CNY realignment only has limited impact on USD expectation. The influence of CNY on FX market should not be exaggerated.
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© 2006 Springer-Verlag Berlin Heidelberg
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Ning, Z. (2006). CNY Realignment and USD Expectation: Empirical Study Based on RND Function of Currency Option. In: Corchado, E., Yin, H., Botti, V., Fyfe, C. (eds) Intelligent Data Engineering and Automated Learning – IDEAL 2006. IDEAL 2006. Lecture Notes in Computer Science, vol 4224. Springer, Berlin, Heidelberg. https://doi.org/10.1007/11875581_152
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DOI: https://doi.org/10.1007/11875581_152
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-45485-4
Online ISBN: 978-3-540-45487-8
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