Explain about futures price calculation

Reference no: EM13826298

Problem:

Today is 31st May. The yield on T-bills is 3% per annum. The futures price for June 30th delivery of Gold is $1593.60 for December 30th delivery the price is $1600.00.

a. Does this pricing present an arbitrage opportunity? Provide a full explanation of your reasoning.

b. How might you construct a portfolio to exploit any such arbitrage opportunity that existed?

c. What are the risks in any such portfolio?

Additional Information:

This question is basically belongs to the Finance as well as it explain about futures price calculation.

Reference no: EM13826298

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