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Suppose you observe the following quotes: C$1.4/$ $.8/BP ACR:C$1.05/BP Find the maximum profit (in terms of USD) available to someone with access to 10 million
Suppose you observe the following quotes:
C$1.4/$
$.8/BP
ACR:C$1.05/BP
Find the maximum profit (in terms of USD) available to someone with access to 10 million USD at a rate of 2%
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Listed Volatility And Variance Derivatives
Authors: Yves Hilpisch
1st Edition
1119167914, 978-1119167914
