01783cas a2200241 a 4500 AALejournalIMF000224 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451921649 1018-5941 BD-DhAAL BD-DhAAL Hu, Zuliu. Jumps, Martingales, and Foreign Exchange Futures Prices / Zuliu Hu. Washington, D.C. : International Monetary Fund, 1996. 1 online resource (26 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on the validity of this model. First, contrary to the suggestions in the literature, changes in foreign currency futures prices are serially correlated; variance ratio tests and other related tests overwhelmingly reject Samuelson's martingale hypothesis. Second, foreign exchange futures prices do not appear to have continuous sample path; the evidence suggests the presence of a jump component, which may lead to pricing bias when applying the standard Black-Scholes option pricing formula to foreign exchange markets. Mode of access: Internet IMF Working Papers; Working Paper ; No. 1996/021 Full text available on IMF http://elibrary.imf.org/view/journals/001/1996/021/001.1996.issue-021-en.xml IMF e-Library