Question
(A) An investment asset provides an income of $2 at the end of the first year and at the end of the second year, its
(A) An investment asset provides an income of $2 at the end of the first year and at the end of the second year, its spot price is $30 and the risk-free rate for all maturities (with continuous compounding) is 10%. What is the three-year forward price?
(B) What is the value of a three-year forward contract with a delivery price of $30?
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Option Volatility And Pricing Advanced Trading Strategies And Techniques
Authors: Sheldon Natenberg
2nd Edition
0071818774, 978-0071818773
