Question
Spot Crude is trading at $120 per barrel. Using Spot Futures Parity to find the price of a 3 year Futures contract on Crude oil
Spot Crude is trading at $120 per barrel. Using Spot Futures Parity to find the price of a 3 year Futures contract on Crude oil if the 3 year risk fee rate is 3.13%. Suppose you observe that a 3 year futures contract on Crude Oil is trading at $150 per barrel. Is there an arbitrage opportunity? If so, what would you buy and what would you sell Show all transactions and steps
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Understanding Financial Risk Management
Authors: Angelo Corelli
1st Edition
0415746183, 978-0415746182
