Triangular Arbitrage The U.S. dollar spot exchange rate with the Canadian dollar is $1 = CA$1.18. The

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Triangular Arbitrage The U.S. dollar spot exchange rate with the Canadian dollar is $1 = CA$1.18. The U.S. dollar and Swiss franc exchange rate is $1 = 1.219 francs. If the cross rate between the franc and Canadian dollar is 1 franc = CA$0.9750, then show that an arbitrage is possible. What positions should be taken to profit from the mispricing? (LG3)

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Finance Applications And Theory

ISBN: 9780073530673

2nd Edition

Authors: Marcia Cornett, Troy Adair, John Nofsinger

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