THE VALUE OF A FORWARD CONTRACT IN FOREIGN CURRENCIES

THE VALUE OF A FORWARD CONTRACT IN FOREIGN CURRENCIES

Under some assumptions a valuation model for a forward contract in foreign currencies is developed. The model produces the value of the contract which is consistent with the value of other types of forward contract; the initial value is zero, and subsequent values are the present values of the diffe...

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Veröffentlicht in:Journal of business finance & accounting 1984-12, Vol.11 (4), p.575-577
1. Verfasser: Yang, Ho C.
Format: Artikel
Sprache:eng
Schlagworte:
Fisher effect
Foreign exchange
Forward exchange contracts
Interest rate parity theorem
Techniques
Valuation
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Beschreibung
Zusammenfassung:Under some assumptions a valuation model for a forward contract in foreign currencies is developed. The model produces the value of the contract which is consistent with the value of other types of forward contract; the initial value is zero, and subsequent values are the present values of the differences between the forward rate when the contract is written and current forward rates.
ISSN:0306-686X
1468-5957
DOI:10.1111/j.1468-5957.1984.tb00772.x