Question
The three-month interest rates in Switzerland and the United States are 1% and 3% per annum, respectively, with continuous compounding. The spot price of the
The three-month interest rates in Switzerland and the United States are 1% and 3% per annum, respectively, with continuous compounding. The spot price of the Swiss franc (CHF) is $1.0000. What should be the 3-month futures price?
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The Concepts And Practice Of Mathematical Finance
Authors: Mark S. Joshi
2nd Edition
0521514088, 9780521514088
