Question
Chinese RMB is currently priced at $15 per 100 yuan. Assume a continuously compounding interest rate on dollar at 1%, and a continuously compounding interest
Chinese RMB is currently priced at $15 per 100 yuan. Assume a continuously compounding interest rate on dollar at 1%, and a continuously compounding interest rate on RMB at 5%. Assume both RMB and dollar can be traded freely without cost. What is the 2-year forward price on 100 yuan?
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Financial Informatics An Information Based Approach To Asset Pricing
Authors: Dorje C Brody, Lane Palmer Hughston, Andrea Macrina
1st Edition
9811246483, 978-9811246487
