Question
The current price of gold is $1,709 per ounce. The storage cost of gold per annum is 1.57% of the gold price. The risk-free rate
The current price of gold is $1,709 per ounce. The storage cost of gold per annum is 1.57% of the gold price. The risk-free rate of interest is 2.87% per annum. The lease rate to lend gold is 1.52% per annum. What do you think should be the future price of a six-month futures contract on gold in two decimal places?
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Derivatives And Internal Models
Authors: H. Deutsch
4th Edition
1349307661, 9781349307661
