CHAPTER+1+Problem+Solutions

CHAPTER+1+Problem+Solutions - Sterling<= 1.57...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
CHAPTER 1
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
1.27 (a) 180-day Forward Price = 1.6018 $ Effective Cost of Sterling if we buy the Call and exercise it is 1.57+ 0.02 = 1.59$ Arbitrage Profit/loss
Background image of page 2
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Sterling <= 1.57 Sterling> 1.57 BUY CALL 0 – 0.02 S T – 1.57 – 0.02 SELL FORWARD 1.6018 - S T 1.6018 - S T 1.5818 - S T > 0 0.0118> 0...
View Full Document

This note was uploaded on 03/23/2011 for the course BUSINESS bus 173 taught by Professor Rtm during the Spring '11 term at IUP.

Page1 / 2

CHAPTER+1+Problem+Solutions - Sterling<= 1.57...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online