Page 1 of 1

Suppose the spot price of crude oil is $68/barrel. The 6-month forward price is $63/barrel. The storage cost is $2/barre

Posted: Sat Nov 27, 2021 5:17 pm
by answerhappygod
Suppose the spot price of crude oil is $68/barrel. The 6-month
forward price is $63/barrel. The storage cost is $2/barrel. The
risk-free rate is 8%/year (continuous compounding). Is there an
arbitrage opportunity? If yes, please identify your strategy.