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Arbitrage Theory in Continuous Time$
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Tomas Björk

Print publication date: 2004

Print ISBN-13: 9780199271269

Published to Oxford Scholarship Online: October 2005

DOI: 10.1093/0199271267.001.0001

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Currency Derivatives

Currency Derivatives

Chapter:
(p.239) 17 Currency Derivatives
Source:
Arbitrage Theory in Continuous Time
Author(s):

Tomas Björk (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199271267.003.0017

This chapter examines a model which incorporates not only the usual domestic equity market, but also a market for the exchange rate between the domestic currency and a fixed foreign currency, as well as a foreign currency market. Financial derivatives defined in such situations are commonly known as quanto products. It begins with a study of derivatives written directly on the exchange rate X, and then proceeds with the study of pricing (in domestic currency) contracts written on foreign equity. Practice exercises are included.

Keywords:   currency derivatives, equity market, exchange rate, domestic currency, foreign currency market, quanto products

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