Consider a three-month futures contract on gold. The fixed charge is Rs.310 per deposit and the variable storage costs are Rs.52.5 per week. Assume that the storage costs are paid at the time of deposit. Assume further that the spot gold price is Rs.15000 per 10 grams and the risk-free rate is 7% per annum. What would the price of three month gold futures if the delivery unit is one kg? Assume that 3 months are equal to 13 weeks
Consider a three-month futures contract on gold. The fixed charge is Rs.310 per deposit and the variable storage costs are Rs.52.5 per week. Assume that the storage costs are paid at the time of deposit. Assume further that the spot gold price is Rs.15000 per 10 grams and the risk-free rate is 7% per annum. What would the price of three month gold futures if the delivery unit is one kg? Assume that 3 months are equal to 13 weeks
Chapter2: The Domestic And International Financial Marketplace
Section: Chapter Questions
Problem 4P
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Consider a three-month futures contract on gold. The fixed charge is Rs.310 per deposit and the
variable storage costs are Rs.52.5 per week. Assume that the storage costs are paid at the time
of deposit. Assume further that the spot gold price is Rs.15000 per 10 grams and the risk-free
rate is 7% per annum. What would the price of three month gold futures if the delivery unit is one
kg? Assume that 3 months are equal to 13 weeks
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