What arbitrage strategy was possible

Reference no: EM13263099

In early 2012, the spot exchange rate between the Swiss Franc and the U.S dollar was 1.0404($ per franc). Interest rates in the U.S. and Switzerland were 0.25% and the 0% per annum, respectably, with continuous compounding. The three-month forward exchange rate was 1.0300($ per franc). What arbitrage strategy was possible? How does your answer change if the exchange rate is 1.0500($ per franc).

Reference no: EM13263099

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