Question
The price of gold is $1000 per ounce, the riskless rate of interest is 5% c.c. and the annualized storage cost of gold is 1%
The price of gold is $1000 per ounce, the riskless rate of interest is 5% c.c. and the annualized storage cost of gold is 1% c.c. Some market participants expect the price of gold may fall 50% in the next six months. What is the no-arbitrage price for a futures contract on gold with a term of 6 months?
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Principles Of Financial Modelling Model Design And Best Practices Using Excel And VBA
Authors: Michael Rees
1st Edition
111890401X, 978-1118904015
