The current price of oil is $32.00 per barrel. months are $31.37, $30.75, $30.14, and $29.54. Assuming

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The current price of oil is $32.00 per barrel. months are $31.37, $30.75, $30.14, and $29.54. Assuming a 2% continuously compounded annual risk-free rate, what is the annualized lease rate for each ma- turity? Is this an example of contango or backwardation?

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Derivatives Markets

ISBN: 978-0321280305

2nd Edition

Authors: Robert L. McDonald

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