Skip to Main Content
Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
Futures Contracts 87
Since all transactions take place during the deliver period, the arbitrage prot from this strategy would be
FS. In the case where the spot price is higher than the futures price, the strategy for the arbitragers will be:
1. Buy a futures contract at price F and take delivery.
2. Sell the asset at spot price F.
is will result in an arbitrage prot of SF.
P R O B L E M 5 . 3
Assume that the futures price of the cashew contract is INR 5,500 and the spot price of cashews is INR 5,400 during
the tender period. e prices are per carton and each futures contract is for 50 cartons.
(i) What transactions would an arb
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Start your free trial

You might also like

Derivatives and Risk Management

Derivatives and Risk Management

Madhumathi Madhumathi, Ranganatham Ranganatham
Derivatives and Risk Management

Derivatives and Risk Management

Sundaram Janakiramanan

Publisher Resources

ISBN: 9781299447547Publisher Website