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THE VALUE OF A FORWARD CONTRACT IN FOREIGN CURRENCIES
Author(s) -
Yang Ho C.
Publication year - 1984
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1984.tb00772.x
Subject(s) - forward contract , valuation (finance) , value (mathematics) , forward rate , economics , forward price , contract management , forward market , financial economics , microeconomics , monetary economics , finance , mathematics , interest rate , futures contract , statistics , management
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.