Question
It is now January. The current interest rate is 5.0%. The June futures price for gold is $1493.00, while the December futures price is $1,503.
| It is now January. The current interest rate is 5.0%. The June futures price for gold is $1493.00, while the December futures price is $1,503. Assume the June contract expires in exactly 6 months and the December contract expires in exactly 12 months. |
| a. | Calculate the appropriate price for December futures using the parity relationship? (Do not round intermediate calculations. Round your answer to 2 decimal place.) | |
| Price for December futures | $ |
| b. | Is there an arbitrage opportunity here? | |
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The Venture Capital Investment Process
Authors: Darek Klonowski
1st Edition
0230612881, 023011007X, 9780230612884, 9780230110076
