Question
Mr. Sam believes that there exists an arbitrage opportunity between USD and EURO. The USD/EURO spot and forward exchange rates are as follows: Spot 1.4470
- Mr. Sam believes that there exists an arbitrage opportunity between USD and EURO. The USD/EURO spot and forward exchange rates are as follows:
Spot 1.4470
90-day forward 1.4446
180-day forward 1.4407
What opportunities are open to an arbitrageur in the following situations?
(a) a 90-day European put option to sell 1 for $1.38 costs 2 cents.
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A Survey of Mathematics with Applications
Authors: Allen R. Angel, Christine D. Abbott, Dennis Runde
10th edition
134112105, 134112342, 9780134112343, 9780134112268, 134112261, 978-0134112107
