Question
Suppose our underlying is a stock XYZ. Today (t=0), XYZ is priced at $1,010. The storage and insurance cost is $18, paid in advance. The
Suppose our underlying is a stock XYZ. Today (t=0), XYZ is priced at $1,010. The storage and insurance cost is $18, paid in advance. The forward contract uses XYZ as the underlying, which will expire in one year from today. The interest rate is 0.047. The forward price at today (t=0) is $1,251. What is the arbitrage profit that you can make today based on cost-of-carry model?
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Local Public Finance
Authors: René Geissler, Gerhard Hammerschmid, Christian Raffer
1st Edition
3030674681, 978-3030674687
