Assume that you are a trader with Deutsche Bank. From the quote system on your computer terminal, you notice that Dresdner Bank is quoting €0.7536/$1 and Credit Suisse is offering SFr1.1802/$1. You learn that USB is making a direct market between the Swiss franc and the euro, with a current €/SFr quote of 0.6397. What €/SFr price will eliminate triangular arbitrage?
Assume that you are a trader with Deutsche Bank. From the quote system on your computer terminal, you notice that Dresdner Bank is quoting €0.7536/$1 and Credit Suisse is offering SFr1.1802/$1. You learn that USB is making a direct market between the Swiss franc and the euro, with a current €/SFr quote of 0.6397. What €/SFr price will eliminate triangular arbitrage?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Assume that you are a trader with Deutsche Bank. From the quote system on your computer terminal, you notice that Dresdner Bank is quoting €0.7536/$1 and Credit Suisse is offering SFr1.1802/$1. You learn that USB is making a direct market between the Swiss franc and the euro, with a current €/SFr quote of 0.6397. What €/SFr price will eliminate triangular arbitrage?
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