Main category
Economics (General Management)
Abstract
There is one theoretical subtlety about multi-currency models. Risk-neutral probabilities differ in both currencies, because numeraires are different. In the domestic risk-neutral probability, the expectation of the daily discounted value of a unit of domestic currency is equal to the domestic discount factor:
Further reading
https://ia601501.us.archive.org/29/items/multi-ccy-bgm/MultiCcyBgm.pdf
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