Question
The spot price of gold is $25 per ounce. The storage costs are $0.36 per ounce per year payable monthly in advance. Assuming that interest
The spot price of gold is $25 per ounce. The storage costs are $0.36 per ounce per year payable monthly in advance. Assuming that interest rates are 6% per annum for all maturities, calculate the futures price of gold for delivery in 3 months. (The interest rate is continuously compounded.)
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Fundamentals of Futures and Options Markets
Authors: John C. Hull
8th edition
978-1292155036, 1292155035, 132993341, 978-0132993340
