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IfthepriceofaU.S.Treasurysecurityishigherthanitsarbitrage-freevalu

2020-11-11 01:37:47 问答库 阅读

问题详情

IfthepriceofaU.S.Treasurysecurityishigherthanitsarbitrage-freevalue,anarbitrageprofitcanbegeneratedby:
A.buyingtheU.STreasurysecurity,strippingitandsellingthestrips.
B.shortingtheU.S.Treasurysecurityandcallingitfromtheissuer.
C.shortingtheU.S.Treasurysecurityandreconstructingitfromstrips.

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