Question
Today is January 1. Consider a July forward contract on soybeans (delivery date is July 1). The spot price of soybeans is 825.1 cents per
Today is January 1. Consider a July forward contract on soybeans (delivery date is July 1). The spot price of soybeans is 825.1 cents per bushel, you can store soybeans until July 1 for 60 cents per bushel (paid in advance) and you can borrow or lend money at a 4% rate (annualized and continuously compounded).
What must the July forward price be in order to rule out arbitrage opportunities?
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Of Synthetic Finance Three Essays Of Speculative Materialism
Authors: Benjamin Lozano
1st Edition
1138790842, 978-1138790841
