Question
John Tan is a commodity trader. He observed the following prices in the commodity market. Appraise whether there is an arbitrage opportunity, how he can
John Tan is a commodity trader. He observed the following prices in the commodity market. Appraise whether there is an arbitrage opportunity, how he can execute it, and the profit that can be made.
Spot price of commodity = $50
Futures price of commodity = $52
1-year risk-free interest rate = 4%
1-year storage cost = 1%
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Options Futures And Other Derivatives
Authors: John C. Hull
3rd Edition
0131864793, 9780306457555
