Question
Today, the U.S. interest rate is 3.3% p.a., while the one-year interest rate in Sweden is 8% p.a. The spot rate for the Swedish Krona
Today, the U.S. interest rate is 3.3% p.a., while the one-year interest rate in Sweden is 8% p.a. The spot rate for the Swedish Krona is SEK/USD 0.0998. The one-year forward rate of the SEK exhibits a 5% discount. Determine the yield (percentage return on investment) to an investor from Sweden who engages in covered interest arbitrage
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Numerical Solution Of The American Option Pricing Problem Finite Difference And Transform Approaches
Authors: Carl Chiarella, Boda Kang , Gunter H Meyer
1st Edition
9814452610,9814452637
