Price after 6 months = Current Price + Current Price*(Risk free Rate - Convenience Yield) + storage cost
= 95 -95*1%*6/12 + 1.5
= 95 -0.475 + 1.5
= $96.025
50.The oil price is currently $95 per barrel. The risk-free interest rate is 3% per annum,...
A stock index currently stands at 500. The risk-free interest rate is 5 percent per annum (with continuous compounding) and the dividend yield is 3 percent per annum. What should the futures price for a 3-month contract be?
The spot price of oil is $50 per barrel and the cost of storing a barrel of oil for one year is $3, payable at the end of the year. The risk-free (continuously compounded) interest rate is 5% per annum, continuously compounded. What is an upper bound for the one-year futures price of oil?
3. Suppose that the risk-free interest rate is 6% per annum dividend yield on a stock index is 4% per annum. The index is standing at 400, and the futures price for a contract deliverable in four months is 405. What arbitroge opportunities does this create? with continuous compounding and that the
The spot price of oil is $50 per barrel and the cost of the storing a barrel of oil for one year $3. payable at the end of the year. The risk free interest rate is 5% per annum continuously compounded. What is an upper bound for the one year futures price of oil? Show your calculations in excel preferably.
Suppose that the risk-free interest rate is 8% per annum with continuous compounding and that the dividend yield on a stock index is 3% per annum with continuous compounding. The index is standing at 350 and the futures price for a contract deliverable in 6months is 360. #1) What should be the theoretical futures price for the stock index? #2) What arbitrage opportunities does this create? #1) theoretical futures price = $366.38 #1) theoretical futures price = $358.86 #1) theoretical...
A) The spot price of the British pound is currently $2.00. If the risk-free interest rate on 1-year Government bonds is 4% in the United States and 6% in the United Kingdom, what must be the forward price of the pound for delivery 1 year from now? B) Assume that the spot price of gold is $1,500 per troy ounce, the risk-free interest rate is 2%, and storage and insurance costs are zero. 1) What should be the forward price...
A futures price is currently $25, its volatility (SD) is 30% per annum, and the risk-free interest rate is 10% per annum. What is the value of a nine-month European call on the futures with a strike price of $26 according to the BSM option pricing model?
An oil importer is thinking to hedge against future pric He decided to enter into a Long futures oil Contract, given the Current spot price is $60/barrel, and each barrel requires $2 storage Cost per barrel every two months. if The - Contract matures in 9 months, the free rate is given at 4% per annum Compounded quarterly. After 4 months the oil price is realized at $75/barrel, and the storage cost agreement has charged to become 3% of the...
8. Suppose current spot price of oil is 895 per barrel, the six-month forward price of oil is $94 per barrel, and the current risk-free rate for 6 months is 2.00% per annum. What effective six-month borrowing rate for oil does this imply? Describe the actions you would take to achieve this borrowing rate and demonstrate that these actions result in a borrowing at this rate.
8. Suppose current spot price of oil is 895 per barrel, the six-month forward price of oil is $94 per barrel, and the current risk-free rate for 6 months is 2.00% per annum. What effective six-month borrowing rate for oil does this imply? Describe the actions you would take to achieve this borrowing rate and demonstrate that these actions result in a borrowing at this rate.