In this paper we consider a model of a stochastic-two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate parity
Risk neutral valuation and uncovered interest rate parity
Vincenzo Costa
2005-01-01
Abstract
In this paper we consider a model of a stochastic-two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate parityFile in questo prodotto:
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