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There are two futures contracts on the same stock with 2 and 3 months of maturity. The price for the 2-month contract is $100, and
- There are two futures contracts on the same stock with 2 and 3 months of maturity. The price for the 2-month contract is $100, and the price for the 3-month contract is $101. Assume the two contracts are correctly priced. Assume the stock does not pay dividends.
- What is the stocks price today?
- There are two futures contracts on the same stock with 2 and 3 months of maturity. The price for the 2-month contract is $100, and the price for the 3-month contract is $101. Assume the two contracts are correctly priced. Assume the stock does not pay dividends.
- What is the stocks price today?
- What is the monthly risk-free interest rate?
- Now suppose that a 1-month futures contract is trading at a price of $98. Does this imply an arbitrage opportunity? First, answer the question, then show your calculation.
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