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Suppose that: The spot price of gold is US$100 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5%

Suppose that:

  1. The spot price of gold is US$100
  2. The quoted 1-year futures price of gold is US$990
  3. The 1-year US$ interest rate is 5% per annum
  4. No income or storage costs for gold
  5. Is there an arbitrage opportunity? Show calculations

image text in transcribed

7.a) Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold Is there an arbitrage opportunity? Show calculations for points

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