Suppose that F 1 and F 2 are two futures prices on the same commodity where the times to maturity of the contracts are t 1 and t 2 with t 2 t 1 Prove that Where is the interest rate (assumed constant) and there are no storage costs For the purposes of this problem, assume that a futures contract is...

If an investor could make a riskless profit by a Taking ...

Suppose that F 1 and F 2 are two futures prices on the same commodity where the

Question:

Suppose that F₁ and F₂ are two futures prices on the same commodity where the times to maturity of the contracts are t₁ and t₂ with t₂> t₁. Prove that

Where is the interest rate (assumed constant) and there are no storage costs. For the purposes of this problem, assume that a futures contract is the same as a forward contract.

Maturity
Maturity is the date on which the life of a transaction or financial instrument ends, after which it must either be renewed, or it will cease to exist. The term is commonly used for deposits, foreign exchange spot, and forward transactions, interest...