Question: You are given the following data on different rates with the same maturity ( 1 . 5 years ) , but quoted on a different
You are given the following data on different rates with the same maturity
years but quoted on a different basis and different compounding frequencies:
a Continuously compounded rate: annualized rate
b Continuously compounded return on maturity:
c Annually compounded rate: annualized rate
d Semiannually compounded rate: annualized rate
Can you find an arbitrage opportunity among these rates?
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