Question
An analyst for Bloom Ltd, gathered the following information with regards to futures contract: Current spot-market price of R60 Risk-free interest rate of 8.87% per
An analyst for Bloom Ltd, gathered the following information with regards to futures contract: Current spot-market price of R60
Risk-free interest rate of 8.87% per annum
The six-month future contract is priced at R62.60
Given that the actual futures price of the contract is R59, describe the strategy an arbitrageur could follow
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Valuation Measuring and managing the values of companies
Authors: Mckinsey, Tim Koller, Marc Goedhart, David Wessel
5th edition
978-0470424650, 9780470889930, 470424656, 470889934, 978-047042470
