Question: Consider the cash flows today and at a future date T from two portfolios. There are no cash flows at intermediate dates. For there to

Consider the cash flows today and at a future date T from two portfolios. There are no cash flows at intermediate dates. For there to be no arbitrage opportunities, which of the following statements is/are INCORRECT?

Select one:

a.If portfolios A and B have the same value today, then they must always have the same value at time T.

b.If portfolios A and B always have the same value at time T, then they must have the same value today.

c.If we subtract portfolio A from B, and the resulting portfolio always has a zero value at time T, then it must have a zero value today.

d.If we subtract portfolio A from B, and the resulting portfolio always has a positive value at time T, then it has a positive value today.

e.If we subtract portfolio A from B, and the resulting portfolio has a zero value today, then it need not have a zero value at time T.

You entered into a forward contract to buy it six months ago, and its value today is $6. It is going to mature after three more months. Today's spot price is $92, and the continuously compounded interest rate is 4.88% per annum. What is the forward price you negotiated six months ago?

Select one:

a.$86.65

b.$87.05

c.$87.95

d.$88.35

e.$88.85

The three-month forward price of gold is $1,500 per pound. If the continuously compounded interest rate is 6% per annum, what is the six-month forward price of gold?

Select one:

a.$1,514.12

b.$1,516.34

c.$1,518.79

d.$1,520.83

e.$1,522.67

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