Question
Consider the following securities for the same Japanese firm traded on an exchange: A one-year zero-coupon bond with par 10, 000 currently priced at 9,
Consider the following securities for the same Japanese firm traded on an exchange: A one-year zero-coupon bond with par 10, 000 currently priced at 9, 500. A one-year dual-currency bond with coupon rate 5% on the par 10,000 and $100 principal, currently priced at 10, 100. A one-year forward with forward price $1 = 100 traded in the OTC market. Are there any arbitrage opportunities? Why?
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Advanced Modelling In Mathematical Finance
Authors: Jan Kallsen, Antonis Papapantoleon
1st Edition
3319458736, 978-3319458731
