Assignment on triangular arbitrage

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Reference no: EM132919692

Triangular Arbitrage

Your favorite bank trader calls you and tells you that she can execute the trades at the following quoted bid-ask spot prices:

Bank A: Korean won 900 - 910 / Singapore $

Bank B: Hong Kong $6.50 - 6.60 / Singapore $

Bank C: Korean won 160 - 162 / Hong Kong $

If you have access to a line of credit of Hong Kong $1 million, based on cross-exchange rates and triangular arbitrage, is arbitrage possible if you go from Hong Kong $ to Korean won to Singapore $ and back to Hong Kong, based on these quotes?

What is your gain or loss from this strategy? Show all your work

Reference no: EM132919692

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