Question
Oil has a spot price for immediate delivery of $150.00 per barrel. There is a market for six month oil futures contracts, where each
Oil has a spot price for immediate delivery of $150.00 per barrel. There is a market for six month oil futures contracts, where each futures contract is for delivery of 50 barrels, with an initial margin of $2000 per contract. The per-annum net convenience yield for holding oil over the next six months is 1%. The six month interest rate is 5%, stated as a continuously-compounded annual rate. What is the current futures price of oil for delivery in six months?
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Microeconomics An Intuitive Approach with Calculus
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