Copper is currently trading at $1.28/lb. Suppose three-month interest rates are 4% and the convenience yield on

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Copper is currently trading at $1.28/lb. Suppose three-month interest rates are 4% and the convenience yield on copper is c = 3%.

(a) What is the range of arbitrage-free forward prices possible using

(b) What is the lowest value of c that will create the possibility of the market being in backwardation?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 10, 2024 01:00 AM

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Copper is currently trading at $1.28/lb. Suppose three-month interest rates are 4% and the convenience yield on

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