Question
Spot price of silver is $21.32/oz and the quoted interest rate is 1.94% for 4 months. There are no storage or transaction costs, but
Spot price of silver is $21.32/oz and the quoted interest rate is 1.94% for 4 months. There are no storage or transaction costs, but borrowers have to pay 0.58% above the quoted rate. Determine the maximum possible no-arbitrage price for a 4-month futures contract on silver.
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An Introduction to Derivative Securities Financial Markets and Risk Management
Authors: Robert A. Jarrow, Arkadev Chatterjee
1st edition
978-0393912937, 393912930, 393913074, 978-0393920949, 393920941, 978-0393913071
