Question
It is now January. The current annual interest rate is 3%. The June futures price for gold is $1,246.30, while the December futures price is
It is now January. The current annual interest rate is 3%. The June futures price for gold is $1,246.30, while the December futures price is $1,251. Is there an arbitrage opportunity here? If so, how would your exploit it?
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Securitisation Derivatives A Practioner's Handbook
Authors: Mark Aarons, Vlad Ender, Andrew Wilkinson
1st Edition
1119532272, 978-1119532279
