Oil has a spot price for immediate delivery of $150.00 per barrel. There is a market...
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Oil has a spot price for immediate delivery of $150.00 per barrel. There is a market for six month oil futures contracts, where each futures contract is for delivery of 50 barrels, with an initial margin of $2000 per contract. The per-annum net convenience yield for holding oil over the next six months is 1%. The six month interest rate is 5%, stated as a continuously-compounded annual rate. What is the current futures price of oil for delivery in six months? Oil has a spot price for immediate delivery of $150.00 per barrel. There is a market for six month oil futures contracts, where each futures contract is for delivery of 50 barrels, with an initial margin of $2000 per contract. The per-annum net convenience yield for holding oil over the next six months is 1%. The six month interest rate is 5%, stated as a continuously-compounded annual rate. What is the current futures price of oil for delivery in six months?
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Related Book For
Microeconomics An Intuitive Approach with Calculus
ISBN: 978-0538453257
1st edition
Authors: Thomas Nechyba
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