A zero-net-investment arbitrage strategy for exploitation of pricing anomaly and draw a profit diagram at expiry. Introduction: Zero net investment arbitrage strategy: When the securities are purchased and sold in such a way that it makes the net investment value as 0, this sort of strategy is known as zero net investment arbitrage strategy. When this strategy is used, both buying and selling of securities are done together to avail the benefit.

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Chapter 20, Problem 22PS

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To calculate: A zero-net-investment arbitrage strategy for exploitation of pricing anomaly and draw a profit diagram at expiry.

Introduction:

Zero net investment arbitrage strategy: When the securities are purchased and sold in such a way that it makes the net investment value as 0, this sort of strategy is known as zero net investment arbitrage strategy. When this strategy is used, both buying and selling of securities are done together to avail the benefit.

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