题目
A bakery owner has decided to exit the business and sell her forward contracts. The contract calls for the delivery of 100 tons of wheat in five months at a price of $105 per ton. The current price of wheat on the spot market is $110 per ton. The risk-free rate is 4% (continuously compounded). Ignore trade and storage costs. Which of the following amounts is closest to the fair value for the contract?
选项
A.$674
B.$759
C.$912
D.$1,111
答案
A
解析
The current value of the contract per ton by the formula:「huixue_img/importSubject/1564169525358891008.png」For a 100-ton contract, the value would be $673.55.