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Consider a long forward contract to buy a certain commodity for $55 in 2 years. Assume the current spot price is S 0 =50, with
Consider a long forward contract to buy a certain commodity for $55 in 2 years. Assume the current spot price is S0=50, with expected return 3%, risk-free rate r=4%, volatility =30%. What is the level of loss that will not be exceeded 97.5% of the time in ten days?
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