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elf_fu elf_fu
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6 years ago
The spot price of gasoline is 258 cents per gallon and the annualized risk free interest rate is 4.0%. Given a lease rate of 1.0%, a continuously paid storage rate of 0.5%, and a convenience yield of 0.75%, what is the no-arbitrage price range of a 1-year forward contract (in cents)?
A) 265.19 to 267.19
B) 258 to 265.19
C) 258 to 267.19
D) 247.16 to 265.19
Textbook 
Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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6 years ago
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wrote...
#2
6 years ago
how to get the solution of this question?
wrote...
#3
4 years ago
Range pricing for no arbitrage is difficult to comprehend.
wrote...
#4
4 years ago
thank you
wrote...
#5
4 years ago
Amazing!
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