
Ultimate access to all questions.
Explanation:
Use the forward pricing relation with lease rate :
Continuous compounding:
so
Substituting , , , gives approximately 1.124%.
Annual discrete compounding gives approximately 1.110%.
So the correct choice is A.
No comments yet.
Question 187.4: The spot price of gold is $1,822 and the six-month forward price is $1,830; . The riskless rate is 2.0%. What is the implied per annum lease rate under, respectively, an assumption of i. continuous compounding and ii. annual (discrete) compounding?
A
1.124% (continuous) and 1.110% (annual)
B
1.248% (continuous) and 1.220% (annual)
C
1.362% (continuous) and 1.346% (annual)
D
1.444% (continuous) and 1.428% (annual)