4. (Continuous-time carrying charges) Suppose that a continuous-time compounding frame- work is used with a fixed interest

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4. (Continuous-time carrying charges) Suppose that a continuous-time compounding frame- work is used with a fixed interest rate Suppose that the carrying charge per unit of time is proportional to the spot price; that is, the charge is q5(t) Show that the theoretical forward price of a contract with delivery date 7 is F = Set-417 [Hint Use Exercise 2]

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Investment Science

ISBN: 9780195391060

1st International Edition

Authors: David G. Luenberger

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