Problem

17. Consider a forward contract on a non-dividend-paying stock. If the term-structure of i...

17. Consider a forward contract on a non-dividend-paying stock. If the term-structure of interest rates is flat (that is, interest rates for all maturities are the same), then the arbitrage-free forward price is obviously increasing in the maturity of the forward contract (i.e., a longer-dated forward contract will have a higher forward price than a shorter-dated one). Is this statement true even if the term-structure is not flat?

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Solutions For Problems in Chapter 3