Author
Tan Wang
0 works0 citations
Recent research
- Society & Economics
Pricing RMB Policy Risk: Evidence From Onshore and Offshore FX Option Markets
ABSTRACT This paper examines how onshore and offshore RMB option markets price potential shifts in China's RMB exchange rate regime. We calibrate a regime‐switching option pricing model to USD/CNY and USD/CNH options to recover daily risk‐neutral parameters summarizing the pricin...