题目
It is currently August 2010, and the spot price of soybeans is $5.05/bushel. Storage costs for soybeans on a continuously compounded basis are $0.45/bushel annually. The appropriate continuously compounded interest rate is 8%. If a soybean farmer has just finished harvesting his crop but would like to sell half of the crop in February 2011 and half in May 2011 by going short futures contracts, which of the following statements is most accurate? The farmer should store his crop only if the:
选项
A.February futures contract price is at least $5.48/bushel and the May futures contract price is at least $5.70/bushel.
B.February futures contract price is at least $5.48/bushel and the May futures contract price is at least $5.73/bushel.
C.February futures contract price is at least $5.50/bushel and the May futures contract price is at least $5.70/bushel.
D.February futures contract price is at least $5.50/bushel and the May futures contract price is at least $5.73/bushel.
答案
D
解析
Calculate the price of the February (6-month) and May (9-month) forward prices using the following pricing formula which accounts for storage costs:「huixue_img/importSubject/1564169523874107392.png」The soybean farmer would only be willing to store half the crop until February if the February futures contract price is at Least $5.50/bushel. Similarly, the soybean farmer would only be willing to store the other half of the crop until May if the May futures contract price is at least $5.73/bushel.