It is now January. The current annual interest rate is 6.6%. The June futures price for gold is $1658.30, while the December futures price is $1,666. Assume the June contract expires in exactly 6 months and the December contract expires in exactly 12 months. a. Calculate the appropriate price for December futures using the parity relationship? (Do not round intermediate calculations. Ro your answer to 2 decimal place.) Price for December futures b. Is there an arbitrage opportunity here? Yes No

It is now January. The current annual interest rate is 6.6%. The June futures price for gold is $1658.30, while the December futures price is $1,666. Assume the June contract expires in exactly 6 months and the December contract expires in exactly 12 months. a. Calculate the appropriate price for December futures using the parity relationship? (Do not round intermediate calculations. Ro your answer to 2 decimal place.) Price for December futures b. Is there an arbitrage opportunity here? Yes No

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter5: Currency Derivatives

Section: Chapter Questions

Problem 3BIC

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Cc. 175.
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