Calculate the price of futures contract

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1. How much is your arbitrage profit in Euros at expiration, if you know that the current exchange rate is Euro 1.2 / GBP, the 60-day forward rate is Euro 1.18 /GBP, the risk free rate in Europe is 2% and the risk free rate in the UK is 3.2%? Make your calculation so that the spot transaction is for GBP 500,000. Provide your arbitrage profit in Euros rounded to two decimals.

2. Calculate the price of a 45-day futures contract, if you know that 45-day call options on the underlying with strike of $287 trade for c=$25.9 and put options with the same maturity and exercise price trade for $20.7. The risk free rate is 1.5%.

Provide your answer rounded to two decimals.

Reference no: EM132023695

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