Question
Assume the following information: St = .62 in AUDUSD St = 1.12 in GBPUSD St = 1.82 in GBPAUD Where GBP is the British pound,
Assume the following information:
St = .62 in AUDUSD
St = 1.12 in GBPUSD
St = 1.82 in GBPAUD
Where GBP is the British pound, AUD is the Australian dollar, and USD is the U.S. dollar. Is triangular arbitrage possible?
If so, explain the steps that would reflect triangular arbitrage, and compute the profit from this strategy (expressed as a % per unit borrowed)
What market forces would occur to eliminate any further possibilities of triangular arbitrage?
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Personal Finance
Authors: E. Thomas Garman, Raymond Forgue
8th Edition
0618471421, 9780618471423
