Consider Example 6.1. Suppose the February forward price had been $2.80. What would the arbitrage be? Suppose it had been $2.65. What would the arbitrage be? In each case, specify the transactions and resulting cash flows in both November and February. What are you assuming about the convenience yield?
Example 6.1
Already registered? Login
Not Account? Sign up
Enter your email address to reset your password
Back to Login? Click here