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Consider a 6-month forward contract written on 100Kg of coffee beans. Assume that the spot price is 10 per Kg and that the continuously
Consider a 6-month forward contract written on 100Kg of coffee beans. Assume that the spot price is 10 per Kg and that the continuously compounded risk free rate is r 5% per annum. Suppose that storing the coffee beans incurs an unknown cost, due halfway the contract. What are the storage costs if the forward price is 1005?
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Introduction To Derivatives And Risk Management
Authors: Don M. Chance, Robert Brooks
10th Edition
130510496X, 978-1305104969
