What is the arbitrage profit

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Reference no: EM132041152

The spot price of light, sweet crude oil is $96.24 per bbl., and the futures price of the NYMEX March light, sweet crude oil futures contract is $96.37 per bbl. This contract expires in 4 months. The continuously compounded 4-month risk-free rate is 2.56% per year. The storage cost is $1.22 per barrel for 4 months, payable in advance. What is the arbitrage profit per 1,000 bbl. Ignore transactions costs.

Reference no: EM132041152

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