Question
We defined the basis at time t as B t = S t - t F T . If the market is in contango when
We defined the basis at time t as Bt= St-tFT.
If the market is in contango when you initiate your position at time t, what is the expected change in the basis from t to T?
First an increase and then a decrease
A decrease
An increase
No change
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International financial management
Authors: Jeff Madura
12th edition
1133947832, 978-1305195011, 978-1133947837
