Exercise 12.3.5 For futures, the cost of carry may be called cash and carry, which is the
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Exercise 12.3.5 For futures, the cost of carry may be called cash and carry, which is the strategy of buying the cash asset with borrowed funds. (1) Illustrate this point with futures contracts when the underlying asset pays no income. (2) Show that the cost of carry can be used to find the futures price in (1) set at full carry.
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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