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You have the following market data. A British pound futures contract expires in 9 months. The annualized, continuously compounded risk-free interest rates in Britain and
You have the following market data. A British pound futures contract expires in 9 months. The annualized, continuously compounded risk-free interest rates in Britain and the U.S. are 2.99% and 1.05%, respectively, from today until expiration. The spot exchange rate between the British pound and the U.S. dollar is $1.302 per British pound. What is the no-arbitrage futures price (expressed in U.S. dollars)?
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