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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Year of publication:	2012
Authors:	Bick, Avi
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 9.2012, 4, p. 194-201
Publisher:	Elsevier
Subject:	Foreign currency futures \| Futures pricing

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Type of publication:	Article
Classification:	F31 - Foreign Exchange ; G13 - Contingent Pricing; Futures Pricing ; D53 - Financial Markets ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010595308