If the price of currency A expressed in terms of the price of currency B follows the

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If the price of currency A expressed in terms of the price of currency B follows the process dS = (rB - rA)Sdt + aSdz where rA is the risk-free interest rate in currency A and rB is the risk-free interest rate in currency B.

What is the process followed by the price of currency B expressed in terms of currency A?

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:02 AM

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If the price of currency A expressed in terms of the price of currency B follows the

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