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Explain the theoretical fair value of the futures contract

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The two-month interest rates in Euros and the U.S. Dollar are 2% and 4% per annum, respectively, with continuous compounding. The spot price of the Euros is $0.900. The futures price for a contract deliverable in two months is $0.930. What is the theoretical "fair value" of the futures contract? Please enter your answer as a number rounded to three decimal places.

Reference no: EM133117123

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