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The relationship between reciprocal currency futures prices

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  • Bick, Avi
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    Abstract

    Consider a futures contract on Country 2’s currency denominated in Country 1’s currency, and its reciprocal, a futures contract on Country 1’s currency denominated in Country 2’s currency. Because both are marked to market in different currencies, the relationship between the associated futures prices is not simple. We investigate the functional relationship between these two futures prices.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1544612312000165
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    Bibliographic Info

    Article provided by Elsevier in its journal Finance Research Letters.

    Volume (Year): 9 (2012)
    Issue (Month): 4 ()
    Pages: 194-201

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    Handle: RePEc:eee:finlet:v:9:y:2012:i:4:p:194-201

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    Web page: http://www.elsevier.com/locate/frl

    Related research

    Keywords: Foreign currency futures; Futures pricing;

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    1. Jarrow, Robert A. & Oldfield, George S., 1981. "Forward contracts and futures contracts," Journal of Financial Economics, Elsevier, vol. 9(4), pages 373-382, December.
    2. Farshid Jamshidian, 1993. "Option and Futures Evaluation With Deterministic Volatilities," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 149-159.
    3. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    5. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
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