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he spot price for light, sweet crude oil is $110 per bbl. The continuously compounded risk-free rate for 9 months is 3% per year. The
he spot price for light, sweet crude oil is $110 per bbl. The continuously compounded risk-free rate for 9 months is 3% per year. The cost of storage expressed as a continuously compounded rate is 2% per year. Convenience yield on oil for the futures contract that expires in 9 months is 6%. If arbitrage opportunities are not present, in what range do we expect to find the futures price for this contract?
Group of answer choices:
A. $109.18 to $114.20
B. $114.20 to $119.46
C. $109.50 to $110.50
D. $105.95 to $110.83
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