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Please use the back of the page if you need additional space to write or sketch Question 1 (Max. Marks 10-5+5) Consider a one-year futures
Please use the back of the page if you need additional space to write or sketch Question 1 (Max. Marks 10-5+5) Consider a one-year futures contract on orange juice. We assume no income and that 50.01 per pound per year to store juice, with the payment being made at the end of the year. The spot price of orange juice per pound is 101.65 dollar cent and risk free rate is 6% for all maturities. What will be the price of long futures contract? What will be the value of short futures contract if futures price is 102.50 dollar cents? Answer: Please use the back of the page if you need additional space to write or sketch Question 1 (Max. Marks 10-5+5) Consider a one-year futures contract on orange juice. We assume no income and that 50.01 per pound per year to store juice, with the payment being made at the end of the year. The spot price of orange juice per pound is 101.65 dollar cent and risk free rate is 6% for all maturities. What will be the price of long futures contract? What will be the value of short futures contract if futures price is 102.50 dollar cents
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