Consider Example 6.1. Suppose the February forward price had been $2.80. What would the arbitrage be? Suppose

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Consider Example 6.1. Suppose the February forward price had been $2.80. What would the arbitrage be? Suppose it had been $2.65. What would the arbitrage be? In each case, specify the transactions and resulting cash flows in both November and February. What are you assuming about the convenience yield?
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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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