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Using the CME Group prices, evaluate the 3 month price (F0) for arbitrage in the EUR/USD futures contract. Assume the risk-free rate in the U.S.
Using the CME Group prices, evaluate the 3 month price (F0) for arbitrage in the EUR/USD futures contract. Assume the risk-free rate in the U.S. is 1.8% (annualized) and the risk-free rate in Europe is -.8% (annualized). (a) show the arbitrage profits that you can make with one contract (125,000 euros) (b) show that you earn the same profits at time t (a) if ST = $1.10 on the street in three months as you would if ST = $1.50 on the street
Using the CME Group prices, evaluate the 3 month price (F0) for arbitrage in the EUR/USD futures contract. Assume the risk-free rate in the U.S. is 1.8% (annualized) and the risk-free rate in Europe is -.8% (annualized).
(a) show the arbitrage profits that you can make with one contract (125,000 euros)
(b) show that you earn the same profits at time t (a) if ST = $1.10 on the street in three months as you would if ST = $1.50 on the street
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