In: Accounting
The spot price of a certain asset is S0 = $50400 And the price for a six months maturity future over such underlying asset is F= $53550
a) Compute the risk free rate (continuous compounding).
b) Combine the spot and the future markets so as to replicate debt. Your wealth is $ 50,400,000, show two strategies that:
Invest purchasing both, the underlying asset and bonds.
Invest purchasing only the underlying asset and borrowing money.
(Hint: File called “Options & Futures” by Alejandro Balbás will help you).
...................................................xxxxxxxxx............................................
I STRUGGLED A LOT TO SOLVE THIS QUESTION TO GET THE ANSWER IT WILL BE HELPFULL IF YOU KINDLY UP VOTE THANK YOU SO MUCH