The spot price of silver is $30 per ounce. The simple interest rate is 6 percent per
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The spot price of silver is $30 per ounce. The simple interest rate is 6 percent per year. The quoted six- month forward price for silver is $31.
a. What should be the arbitrage- free forward price for silver for a forward contract maturing in six months?
b. Demonstrate how you can make arbitrage profits in this market.
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The data Spot price of silver S 30 per ounce Simple interest i 6 percent per year Quoted forward pri...View the full answer
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An Introduction to Derivative Securities Financial Markets and Risk Management
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Authors: Robert A. Jarrow, Arkadev Chatterjee
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