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A hedge fund can sell gold for $1499 per ounce and buy it for $1501 per ounce. They can borrow funds at 1.05% and
A hedge fund can sell gold for $1499 per ounce and buy it for $1501 per ounce. They can borrow funds at 1.05% and lend at 1.00%. For what range of 1-year forward prices of gold does the hedge fund have no arbitrage opportunities? Assume there is no storage cost and lease rate.
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
