The relationship between reciprocal currency futures prices

Avi Bick

Finance Research Letters, 2012, vol. 9, issue 4, 194-201

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.

Keywords: Foreign currency futures; Futures pricing (search for similar items in EconPapers)
JEL-codes: D53 F31 G13 G15 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:9:y:2012:i:4:p:194-201

DOI: 10.1016/j.frl.2012.03.001

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