[R-SIG-Finance] [R-sig-finance] Domestic risk free rate in FX option

RON70 ron_michael70 at yahoo.com
Wed May 6 10:12:02 CEST 2009

In CME, option on forex is traded on EUR/GBP. If I want to price this option
using some pricing formula then as Domestic risk free interest rate what
should I take? Shouldn't risk free rate in UK be appropriate? I am asking
this because as CME is in US, domestic currency is USD. Your suggestion
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