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Let the arbitrage-free 3-month futures prices for wheat be denoted by Ft. Suppose it costs c$ to store 1 ton of wheat for 12 months and s$ per year to insure the same quantity. The (simple) interest rate applicable to traders of spot wheat is r% finally assume that the wheat has no convenience yield.
(a) Obtain a formula for Ft.
(b) Let the Ft = 1500, r = 5%, s = 100$, c - 150$ and the spot price of wheat be St = 1470. Is this Ft arbitrage-free? How would you form an arbitrage portfolio?
(c) Assuming that all the parameters of the problem remain the same, what would be the profit or loss of an arbitrage portfolio at expiration?
Consider a family that plans to have a total of three children; assuming that they will not have any twins, generate the sample space, Ω, for the possible outcomes. By de?ning the random variable, X as the total number of female children born to t..
which of the following is an example of a financing activity?a issuing shares of common stock.b selling goods on
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The case duplicate the sensitivity analysis of the production points for the three options considered in the case by management
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Find the five number summary for the data for all five departments. Consider all five departments as one department.
David is planning for his daughters future university education. he estimates that his daughter will need $15000 per year for four years. The first payment of $15000 would be at the beginning of year eleven.
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