Question

The current price of gold is $1,763.14 per ounce. Consider the net cost of carry for...

The current price of gold is $1,763.14 per ounce. Consider the net cost of carry for gold to be 0.2% of total value of gold traded at any time. The risk-free interest rate is 6% per annum. What should be the price of a gold futures contract that expires in 90 days?

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Answer #1

Solution:-

Assume 365 days in a year

Assume it is a continuously compounded.

Current Market Price = $1,763.14

To Calculate Price of Gold Futures that expire in 90 Days-

Future Price =

Future Price =

Future Price =

Future Price =

Future Price =

Future Price = $1,790.30

Price of Gold Futures that expire in 90 Days is amounting to $1,790.30

If you have any query related to question then feel free to ask me in a comment.Thanks.

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