Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods

Vincenzo Costa ()
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Vincenzo Costa: University of Cassino (Italy)

Economics Bulletin, 2004, vol. 3, issue 43, 1-10

Abstract: In this paper we consider a model of a stochastic two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate parity.

JEL-codes: C0 G1 (search for similar items in EconPapers)
Date: 2004-11-04
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