References
- Garman , M. B. and Kohlhagen , S. W . 1983 . Foreign currency option values . Journal of International Money and Finance , 2 : 231 – 37 .
- Harrison , J. M . 1985 . Brownian Motion and Stochastic Flow Systems , New York : Wiley .
- Harrison , J. M. and Reiman , M. I . 1981 . Reflected Brownian motion on an orthant . Annals of Probability , 9 : 302 – 8 .
- Hillebrand , E. and Schnabl , G . 2008 . A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility . International Economics and Economic Policy , 5 : 389 – 401 .
- Ikeda , N. and Watanabe , S . 1981 . Stochastic Differential Equations and Diffusion Processes , Amsterdam : North-Holland .
- Ito , T . 2005 . Interventions and Japanese economic recovery . International Economics and Economic Policy , 2 : 219 – 39 .
- Karlin , S. and Taylor , H. M . 1981 . A Second Course in Stochastic Processes , New York : Academic Press .
- Krugman , P. R . 1991 . Target zones and exchange rate dynamics . Quarterly Journal of Economics , 106 : 669 – 82 .
- Larsen , K. S. and Sørensen , M . 2007 . Diffusion processes for exchange rates in a target zone . Mathematical Finance , 17 : 285 – 306 .
- People's Bank of China (2012) China Monetary Policy Report, Quarter One, People's Bank of China, Beijing.
- Revuz , D. and Yor , M . 1994 . Continuous Martingales and Brownian Motion , 2nd edn , Berlin : Springer .
- Risken , H . 1989 . The Fokker-Planck Equation. Methods of Solution and Applications , 2nd edn , Berlin : Springer .
- Skorokhod , A. V . 1961 . Stochastic equations for diffusion processes in a bounded region . Theory of Probability and its Applications , 6 : 264 – 74 .
- Swiss National Bank (2012) 104th Annual Report 2011, Swiss National Bank, Bern.
- Veestraeten , D . 2004 . The conditional probability density function for a reflected Brownian motion . Computational Economics , 24 : 185 – 207 .
- Veestraeten , D . 2008 . Valuing stock options when prices are subject to a lower boundary . Journal of Futures Markets , 28 : 231 – 47 .