Question
The spot price of oil is $98 per barrel and the cost of storing a barrel of oil for one year is $3.8, payable at
The spot price of oil is $98 per barrel and the cost of storing a barrel of oil for one year is $3.8, payable at the end of the year. The risk-free interest rate is 5% per annum (cont. comp). What is an upper bound for the one-year futures price of oil?
(round to the nearest 0.01)
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Affordable Housing Finance
Authors: K. Hawtrey
2009th Edition
0230555187, 978-0230555181
