Arbitrage with hedging by forward contracts: exploited and exploitable profits
The theoretical conditions for covered interest arbitrage and exploitable profit opportunities out of simple and triangular arbitrage in the absence and presence of market imperfection are enunciated. A distinction is made between pure arbitrage profits and arbitrage-induced total profits attainable under the risk-free environment. Operational feasibility of iterative arbitrage is also examined.
Year of publication: |
1997
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Authors: | Ghosh, D. K. |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 3.1997, 4, p. 349-361
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Publisher: |
Taylor & Francis Journals |
Keywords: | Arbitrage Hedging Forward Contracts Program Trading Orders Ulation |
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