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Global Finance Journal Volume 2018 Issue 1805

Subject Areas: Economics and Econometrics
ISSN: 1044-0283
SJR: 37

2018
Issue 1805 (May)

Open Access

Journal Article

Future exchange rates and Siegel's paradox

Mallahi-Karai, Keivan; Safari, Pedram

2018 Quantitative Finance

doi:10.1016/j.gfj.2018.04.007

Abstract: Siegel's paradox is a fundamental question in international finance about exchange rates for futures contracts and has puzzled many scholars for over forty years. The unorthodox approach presented in this article leads to an arbitrage-free solution which is invariant under currency...

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