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...

The paper analyzes zero-value trading strategies, which may be regarded as synthetic futures contracts. An “actual” futures contract may then be replicated by such a strategy, in the sense of matching cumulative cash flows. The Law of One Futures Price justifies futures pricing based on such...