Suppose that F1 and F are two futures contracts on the same commodity with times to maturity,

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Suppose that F1 and F are two futures contracts on the same commodity with times to maturity, t and 12, where t2> 11. Prove that F2 Fe(12-11) where r is the interest rate (assumed constant) and there are no storage costs. For the purposes of this problem, assume that a futures contract is the same as a forward contract.

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