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Suppose that the current price of oil is $ 90 per bbl. Suppose it costs $ 0.5 per bbl per month to store oil (payable
Suppose that the current price of oil is $ 90 per bbl. Suppose it costs $ 0.5 per bbl per month to store oil (payable monthly in advance). Suppose also that the term structure is flat with a continuously compounded rate of interest of 3 % for all maturities. Calculate the forward price of oil for delivery in 3 months. A 92.19 B 93.19 C 90.19 D 91.19
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Advanced Bond Portfolio Management
Authors: Frank J. Fabozzi, Lionel Martellini, Philippe Priaulet
1st Edition
0471678902, 9780471678908
