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 IN A STOCHASTIC TWO_COUNTRY_ECONOMY WITH TWO GOODS
COSTA, Vincenzo
2004-01-01
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 parity.File in questo prodotto:
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