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Solution Library
Calculation Of Futures Prices
Question
Today is 31st May. The yield on T-bills is 3% per annum. The futures price for June 30th delivery of Gold is $1593.60 for December 30th delivery the price is $1600.00.
a. Does this pricing present an arbitrage opportunity? Provide a full explanation of your reasoning.
b. How might you construct a portfolio to exploit any such arbitrage opportunity that existed?
c. What are the risks in any such portfolio?
Summary
The question belongs to Finance and it discusses about futures price calculation.
Total Word Count 275
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