Saturday, November 19, 2011

What is the price for December futures using the parity relationship?

It is now January. The current interest rate is 4%. The June futures price for gold is $946.30, while the December futures price is $952.





What is the price for December futures using the parity relationship?|||using continuous compounding and assuming 6 months, e^(.04/2) * 952 = 971.232

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