The current price of gold is $1,200 per oz. The available one-year futures contracts on gold have

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The current price of gold is $1,200 per oz. The available one-year futures contracts on gold have a delivery price of $1,300 and the risk-free rate is 5%.

Is there an arbitrage opportunity? Why?

If there is an arbitrage opportunity, calculate the potential
profit.

Related Book For answer-question

Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Posted Date: Feb 01, 2024 05:34 AM

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The current price of gold is $1,200 per oz. The available one-year futures contracts on gold have

Question:

Expert Answer:

Yes there is an arbitrage opportunity in this scenario To determine if there is an arbitrage opportu... View the full answer

Derivatives Principles And Practice

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