Abstract:
The currency options markets, both the dollar denominated markets and the cross- currency options markets, carry important economic information about the evolution of exchange rates and the pricing of risk. It is challenging to integrate all this information. This paper lays the groundwork for analysis by establishing the conditions under which the prices across these markets are mutually consistent, and are free from arbitrage trades.
Presenter: Anthony Neuberger (Bayes Business School)
Title: “Arbitrage Bounds on Cross Currency Options”