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The one-year futures price of gold is $1,213 per oz. (i.e., the futures price on a contract that expires in one year). The spot price
The one-year futures price of gold is $1,213 per oz. (i.e., the futures price on a contract that expires in one year). The spot price is $1,155 per oz. and the continuous risk-free rate is 2.89% per annum. The storage costs for gold are $2 per oz. payable in arrears and we assume gold provides no income. What is the arbitrage profit per 100 oz. of gold? Ignore transactions costs.
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