Assuming that the pound is worth 1. 1567 euros in Paris and 1. 4393 Swiss francs in

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Assuming that the pound is worth 1. 1567 euros in Paris and 1. 4393 Swiss francs in Zurich, can Britain-based arbitrageurs make profits, given that the Swiss franc is worth 0. 8102 euros in Paris?

a. Work out the solution first by disregarding transaction costs.

b. Assuming that transaction costs amount to 1/16 of 1 percent of the amount transacted, are they still exploitable arbitrage opportunities?

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International Corporate Finance Value Creation With Currency Derivatives In Global Capital Markets

ISBN: 9781119550464

2nd Edition

Authors: Laurent L. Jacque

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Question Posted: Mar 09, 2024 01:00 AM

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Assuming that the pound is worth 1. 1567 euros in Paris and 1. 4393 Swiss francs in

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International Corporate Finance Value Creation With Currency Derivatives In Global Capital Markets

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