Covered arbitrage with currency options: A theoretical analysis

This work demonstrates how a rational investor in the currency market can make risk-free profits by covering his risk exposure with call and put options. The conditions for such profit making is first derived, and then it is shown that by iterative arbitrage process he can compound his risk-free pro...

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Bibliographic details
Volume: 16
Main Author: Ghosh, Dilip K
Ghosh, Dipasri
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Greenwich Elsevier Inc 2005
Elsevier B.V
Elsevier Science Ltd
published in: Global finance journal Vol. 16; no. 1; pp. 86 - 98
Data of publication: 2005
ISSN: 1044-0283
EISSN: 1873-5665
Discipline: Business
Series: Global Finance Journal
Online Access: available in Bonn?
Database: RePEc IDEAS
Academic OneFile (A&I only)
ProQuest One Business
ProQuest One Business (Alumni)
Database information Databases - DBIS