Question
Tim Jun, CFA, believes he has identified an arbitrage opportunity for a commodity as indicated by the following information: Spot price for commodity $1,900 Futures
Tim Jun, CFA, believes he has identified an arbitrage opportunity for a commodity as indicated by the following information:
Spot price for commodity $1,900
Futures price for commodity expiring in 1 year $1,930
Interest rate for 1 year 2%
Calculate the arbitrage profit for the profitable arbitrage strategy.
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Fundamentals Of Corporate Finance
Authors: Robert Parrino, David S. Kidwell, Thomas W. Bates
5th Edition
1119795435, 978-1119795438
