The Valuation of Cross-Currency Interest-Sensitive Claims with Application to “Diff” Swaps
The literature on cross-currency contingent claims is dominated by the valuation of foreign exchange contracts. See Amin and Jarrow  (AJ) for a review and numerous references. Foremost amount these contracts are forward and option contracts; some attention has also been given to currency futures and options thereon. While the payoffs on such instruments depend only upon the exchange rate, their pricing depends also upon interest rates in the two countries.
KeywordsExchange Rate Interest Rate Term Structure Forward Rate Contingent Claim
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