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- Title
A REVISIT TO n-CURRENCY ARBITRAGE.
- Authors
Youngna Choi; Yoon, Yeomin
- Abstract
In response to the argument that any arbitrage involving more than three currencies is redundant and unnecessary, this paper demonstrates that such an argument is valid if and only if one uses the mid-point exchange rates (typical approach used by many international finance textbooks) for currency arbitrage and that in the real world where the currency rates are always quoted in terms of bid and asked prices, one could have more arbitrage opportunities by adding more currencies than three.
- Subjects
ARBITRAGE; FOREIGN exchange; FOREIGN exchange rates; BID price; ASKED price; MONEY
- Publication
International Journal of Finance, 2008, Vol 20, Issue 4, p4980
- ISSN
1041-2743
- Publication type
Article