Consider a long forward contract to buy a certain commodity for $55 in 2 years Assume the current spot price is S 0 50, with expected return 3 , risk free rate r 4 , volatility 30 What is the level of loss that will not be exceeded 97 5 of the time in ten days

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Question: Consider a long forward contract to buy a certain commodity for $55 in 2 years. Assume the current spot price is S 0 =50, with

Consider a long forward contract to buy a certain commodity for $55 in 2 years. Assume the current spot price is S₀=50, with expected return 3%, risk-free rate r=4%, volatility =30%. What is the level of loss that will not be exceeded 97.5% of the time in ten days?

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