Question
Suppose our underlying is a stock XYZ. Today (t=0), XYZ is priced at $1,070. The storage and insurance cost is $13, paid in advance. The
Suppose our underlying is a stock XYZ. Today (t=0), XYZ is priced at $1,070. The storage and insurance cost is $13, paid in advance. The forward contract uses XYZ as the underlying, which will expire in one year from today. The interest rate is 0.044. The forward price at today (t=0) is $1,441. What is the arbitrage profit that you can make today based on cost-of-carry model?
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Empirical Finance
Authors: Sardar M. N. Islam, Sethapong Watanapalachaikul
1st Edition
3790815519, 978-3790815511
