
 [No title] 
  Assuming that the continuously compounded riskfree rate of return is 5%, determine the arbitragefree oneyear forward price of gold on September 1, 2000. 
  Assuming that the continuously compounded riskfree rate of return is 5%, determine the value of a long position on the forward contract of the previous example on March 1, 2001. 
  Since you have a long position and the settle price on August 30 was lower than the price at which you bought the futures contract, your loss on August 30 was: $6,400 [=(11,30011,268)*10*20]. 
 home.gwu.edu /~alexbapt/lectur23.ppt (1035 words) 
