The relationship between reciprocal currency futures prices
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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- 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.
- Robert A. JARROW & George S. OLDFIELD, 2008.
"Forward Contracts And Futures Contracts,"
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in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 11, pages 237-246
World Scientific Publishing Co. Pte. Ltd..
- 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.
- Farshid Jamshidian, 1993. "Option and Futures Evaluation With Deterministic Volatilities," Mathematical Finance, Wiley Blackwell, vol. 3(2), pages 149-159.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
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