Write the Triangular Arbitrage Suppose you are given the following three quotes: BankQuote Citibank...$2.0/ UBSSF 1.20/$ Deutsche

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Write the Triangular Arbitrage

Suppose you are given the following three quotes:

Bank………………………………………Quote

Citibank…………………………………...$2.0/£

UBS……………………………………SF 1.20/$

Deutsche Bank………………………….SF 2.5/£

1) Is there any opportunity to make risk-free profit? Explain.

2) If the answer is yes, demonstrate how, assuming you have SF2,400,000.

Related Book For answer-question

An Introduction to the Mathematics of Financial Derivatives

ISBN: 978-0123846822

3rd edition

Authors: Ali Hirsa, Salih N. Neftci

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Posted Date: Jul 11, 2018 08:02 AM

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Write the Triangular Arbitrage Suppose you are given the following three quotes: BankQuote Citibank...$2.0/ UBSSF 1.20/$ Deutsche

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5225 and Citibank rate is 2... View the full answer

An Introduction to the Mathematics of Financial Derivatives

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