The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy - Staff at the Department of Mathematical Sciences

The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach

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ArticleRolfPoulsen
Accepted author manuscript, 364 KB, PDF document

Michael Hanke
Poulsen, Rolf
Alex Weissensteiner

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

Original language	English
Journal	Quantitative Finance
Volume	19
Issue number	1
Pages (from-to)	1-11
ISSN	1469-7688
DOIs	https://doi.org/10.1080/14697688.2018.1489137
Publication status	Published - 2 Jan 2019

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