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The two-month interest rates in Switzerland and the United States are, respectively, 0.5% and 2.5% per annum with continuous compounding. The spot price of the Swiss franc is $1.01. The futures price for a contract deliverable in two months is also $1.01. What arbitrage opportunities does this create

Respuesta :

hamzaafzal012

Answer:

1.01337228

Explanation:

The theoretical futures price is

1.01 e^(0.025-0.005)x2/12

= 1.01337228

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