Arbitrage with hedging by forward contracts: exploited and exploitable profits

D. K. Ghosh

The European Journal of Finance, 1997, vol. 3, issue 4, 349-361

Abstract: 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.

Keywords: Arbitrage Hedging Forward Contracts Program Trading Orders Ulation (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (4)

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DOI: 10.1080/135184797337417

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