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A one year gold futures contract is priced in the market at $1558. The current spot price of gold is $1500. A one year risk
| A one year gold futures contract is priced in the market at $1558. The current spot price of gold is $1500. | ||||||
| A one year risk free rate is four percent. | ||||||
| a) Calculate the arbitrage free futures price | ||||||
| b) If there is mispricing, what strategy would you employ to take advantage of the mispricing? Be specific | ||||||
| c) If there is mispricing, what would your profits be? | ||||||
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CFIN
Authors: Scott Besley, Eugene Brigham
5th edition
1305661656, 9781305888036 , 978-1305666870
