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Let be the arbitrage-free forward exchange rate on a currency forward contract with time to expiration (T t) and be the value of a forward
Let be the arbitrage-free forward exchange rate on a currency forward contract with time to expiration (T t) and be the value of a forward exchange contract with a strike of (i.e. a contract to buy one unit of the foreign currency in exchange for units of the domestic currency). Derive the stochastic processes followed by and and explore whether they are geometric Brownian motion processes
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Financial Accounting An Introduction to Concepts, Methods and Uses
Authors: Roman L. Weil, Katherine Schipper, Jennifer Francis
14th edition
978-1111823450, 1-133-36617-1 , 1111823456, 978-1-133-3661, 978-1133591023
