2) You have the following market data. A British pound futures contract expires in 11 months. The...
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Question:
2)
You have the following market data.
- A British pound futures contract expires in 11 months.
- The annualized, continuously compounded risk-free interest rates in Britain and the U.S. are 1.18% and 3.06%, respectively, from today until expiration.
- The spot exchange rate between the British pound and the U.S. dollar is $1.701 per British pound.
What is the no-arbitrage futures price (expressed in U.S. dollars)?
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