Question
It is 1st April 2022 today and that there are no storage costs for Crude Palm Oil (CPO) and the risk free interest rate is
It is 1st April 2022 today and that there are no storage costs for Crude Palm Oil (CPO) and the risk free interest rate is 5% per annum continuously compounding for all maturities. How could you make an arbitrage profit if the 1st July and 1st October forward CPO contracts for this year trade at RM2,000 and RM2,100 per metric ton respectively? What would be your total arbitrage profit for each contract? (each CPO contract is for 25 metric ton delivery).
6 marks
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Entrepreneurial Finance
Authors: J . chris leach, Ronald w. melicher
4th edition
538478152, 978-0538478151
