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The spot price for light, sweet crude oil is $110 per bbl. The continuously compounded risk-free rate for 9 months is 3% per year. The
The spot price for light, sweet crude oil is $110 per bbl. The continuously compounded risk-free rate for 9 months is 3% per year. The cost of storage expressed as a continuously compounded rate is 2% per year. Convenience yield on oil for the futures contract that expires in 9 months is 6%. If arbitrage opportunities are not present, in what range do we expect to find the futures price for this contract? Group of answer choices
$109.50 to $110.50
$114.20 to $119.46
$105.95 to $110.83
$109.18 to $114.20
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