Question
A one-year long futures contract on crude oil is entered into when the spot price is $38/bbl. and the risk-free rate of interest is 2.00%
A one-year long futures contract on crude oil is entered into when the spot price is $38/bbl. and the risk-free rate of interest is 2.00% per annum with continuous compounding. The cost to store a barrel of oil is $1.00 per barrel per year, payable at the end of the year. Please assume there is no convenience yield.
a) What is the futures price?
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Investment Analysis And Portfolio Management
Authors: Frank K. Reilly, Peggy L. Hedges, Philip Chang, Keith C. Brown, Hedges Reilly Brown
1st Canadian Edition
0176500693, 978-0176500696
