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Suppose that USD-sterling spot and forward exchange rates are as follows : Spot 1.5580 90-day forward 1.5556 180-day forward 1.5518 What opportunities are open to
Suppose that USD-sterling spot and forward exchange rates are as follows:
| Spot | 1.5580 |
| 90-day forward | 1.5556 |
| 180-day forward | 1.5518 |
What opportunities are open to an arbitrageur in the following situations?
- A 180-day European call option to buy 1 for $1.52 costs 2 cents.
- A 90-day European put option to sell 1 for $1.59 costs 2 cents
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Global Finance At Risk
Authors: S. Sen
1st Edition
1349420492, 978-1349420490
