Arbitrage opportunity using Futures (100% correct) - 22151

Solution Posted by


Rating : No Rating
Solution Detail
Price: $3.00
  • From: Finance,
  • Posted on: Thu 08 Aug, 2013
  • Request id: None
  • Purchased: 0 time(s)
  • Average Rating: No rating
Request Description

Suppose the spot price and the six-month futures price of soybeans are $4.80 and $5.20 per bushel, respectively. One futures contract is for buying 5,000 bushels. The six-month risk-free interest is 6% per year. The storage cost for soybeans is $0.05 per bushel for six months, paid in advance. Could you make an arbitrage profit in the soybean market? How?

Solution Description
Arbitrage opportunity using Futures Solution.docx
Arbitrage oppor...