(Triangular arbitrage, 1/3) You are a U.S.-based treasurer with $1,000,000 to invest. The euro-dollar exchange rate...
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(Triangular arbitrage, 1/3) You are a U.S.-based treasurer with $1,000,000 to invest. The euro-dollar exchange rate is quoted as $1.40 = 1.00 and the pound-dollar exchange rate is quoted as $1.65 = 1.00. If a bank quotes you a cross rate of 1.00 = 1.20, the intrinsic value for the cross rate is 1.00 2.3100 1.00 1.1786 1.00 1.3750 = 1.00 0.8571 1.00 0.8485 (Triangular arbitrage, 1/3) You are a U.S.-based treasurer with $1,000,000 to invest. The euro-dollar exchange rate is quoted as $1.40 = 1.00 and the pound-dollar exchange rate is quoted as $1.65 = 1.00. If a bank quotes you a cross rate of 1.00 = 1.20, the intrinsic value for the cross rate is 1.00 2.3100 1.00 1.1786 1.00 1.3750 = 1.00 0.8571 1.00 0.8485
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Related Book For
Fundamentals of corporate finance
ISBN: 978-0073382395
9th edition
Authors: Stephen Ross, Randolph Westerfield, Bradford Jordan
Posted Date:
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