Triangular arbitrage Consider the following information given by dealers (direct quotes in each country): 1.3755 8 ($/Euro); 5.0043-55 ($/SF); 3.0048-55 (Euros/SF) What level of transaction
Triangular arbitrage
Consider the following information given by dealers (direct quotes in each country):
1.3755 8 ($/Euro); 5.0043-55 ($/SF); 3.0048-55 (Euros/SF)
What level of transaction costs in each market will eliminate triangular arbitrage?
7.008% in each market
Now consider a quote for the $ in Germany:
0.6778 -85.
Is there a possibility of geographic arbitrage?
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Authors: Gremillion
1st Edition
0471736244, 978-0471736240
