The Henry Hub natural gas futures contract trades on NYMEX, aunit of the CME Group. The underlying asset for each contract is10,000 million British thermal units. (The abbreviation for“million British thermal units “ is mmBtu.) Price quotations are inU.S. dollars and cents per mmBtu. The underlying asset isdeliverable. Trading of any delivery month ceases three businessdays before the first day of the delivery month.

You have the following market data. “Today” is three monthsbefore the delivery month of the August natural gas futurescontract. (Hence, let T = 3/12 years.)

• The spot price of natural gas is $2.674 per mmBtu.
• The futures price of natural gas for August delivery is $2.962per mmBtu.
• Suppose that storage costs for the next three months are $0.03per mmBtu, payable in arrears.
• The continuously compounded three-month risk-free rate (LIBOR)is 3.69% per year.

What is the no-arbitrage value per mmBtu for this futurescontract?