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.

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Year of publication:	1997
Authors:	Ghosh, D. K.
Published in:	The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 3.1997, 4, p. 349-361
Publisher:	Taylor & Francis Journals
Keywords:	Arbitrage Hedging Forward Contracts Program Trading Orders Ulation

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005438042