The oil price is currently $95 per barrel. The risk-free interest rate is 3% per annum, and

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The oil price is currently $95 per barrel. The risk-free interest rate is 3% per annum, and the convenience yield of oil is 4% per annum. Consider an oil futures contract with a maturity of 6 months.

Assuming the 6 months storage cost is equal to $1.50 per barrel, the no-arbitrage futures price is closest to?

Related Book For answer-question

Microeconomics An Intuitive Approach with Calculus

ISBN: 978-0538453257

1st edition

Authors: Thomas Nechyba

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Posted Date: Jun 12, 2023 05:54 AM

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The oil price is currently $95 per barrel. The risk-free interest rate is 3% per annum, and

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Expert Answer:

The noarbitrage futures price can be calculated using the formula Futures price Spot pr... View the full answer

Microeconomics An Intuitive Approach with Calculus

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