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Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods

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  • Vincenzo Costa

    (University of Cassino (Italy))

Abstract

In this paper we consider a model of a stochastic two-country economy and we use the martingale properties, the change of the numéraire technique and the risk neutral evaluation for achieving some important relations between interest rate of two markets, in particular the so-called uncovered interest rate parity.

Suggested Citation

  • Vincenzo Costa, 2004. "Risk neutral valuation and uncovered interest rate parity in a stochastic two-country-economy with two goods," Economics Bulletin, AccessEcon, vol. 3(43), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-04c00007
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • G1 - Financial Economics - - General Financial Markets

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