Assume that the price of currency A expressed in terms of the price of currency B follows

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Assume that the price of currency A expressed in terms of the price of currency B follows the process

dS = (r_B – r_A)S dt + σS dz

where r_A is the risk-free interest rate in currency A and r_B is the risk-free interest rate in currency B. What is the process followed by the price of currency B expressed in terms of currency A?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:18 PM

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Assume that the price of currency A expressed in terms of the price of currency B follows

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The price of currency B expressed in terms of c...View the full answer

Options Futures and Other Derivatives

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