The pre-paid forward price of a currency is Fp(x) = xe~ra#39;\ so la(Fp(x)/K) = ln.v - r/, making the d\ of formula (8.1) - 1n(Fp(x)/Fp(K)) + Vl - ln(x/K) + rt - rft + Vf a#39; cr V? cr V? which is the same as the d\ of formula (8.4). Example 8C You are given: (i)anbsp;...

Title | : | Study Manual for SOA Exam MFE |

Author | : | Abraham Weishaus |

Publisher | : | - 2007 |

Continue