Notation
– expectation
– variance
– domestic interest rate (assumed constant)
– domestic short rate at time t
– domestic discount factor from time t1 to time t2
– foreign discount factor from time t1 to time t2
- St
– spot price at time t
- Ft,T
– forward price, quoted at time t, for delivery at time T
- ft,T
– futures contract price, quoted at time t, for delivery at time T
- P
– real-world measure
- Wt
– Brownian motion with respect to P
- Pd
– (domestic) risk-neutral measure
- Pd;T
– (domestic) T-maturity forward measure
– expectation with respect to the (domestic) risk-neutral measure
– expectation with respect to the T-maturity forward measure
– variance with respect to the (domestic) risk-neutral ...
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