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The price of gold is currently $1,550 per ounce. Forward contracts to buy or sell goldare quoted at $1,620 per ounce for delivery in six
The price of gold is currently $1,550 per ounce. Forward contracts to buy or sell goldare quoted at $1,620 per ounce for delivery in six months. The interest rate is 5% per annum. What is the riskless profit available to an arbitrageur? Assume that the cost of storing gold is zero and that gold provides no income. What is the optimal number of futures contracts (ignore tailing)?
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