Question
You have AUD 1,000,000 available for speculative activity. You contact the Commonwealth Bank of Australia (CBA) in Sydney and Bank of Tokyo Mitsubishi (BOT) in
- You have AUD 1,000,000 available for speculative activity. You contact the Commonwealth Bank of Australia (CBA) in Sydney and Bank of Tokyo Mitsubishi (BOT) in Japan for quotes on the exchange rate between the Australian dollar and the Japanese yen. You receive the following quotes:
CBA AUD/JPY 89.33/65
BOT JPY/AUD 0.0125/30
Does this represent an arbitrage opportunity? If there is an arbitrage opportunity, what would your arbitrage profit be, given the funds you have available?
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Finance A Quantitative Introduction Volume 1
Authors: Piotr Staszkiewicz, Lucia Staszkiewicz
1st Edition
0128015845, 978-0128015841
