MATH 534 Midterm: MATH 537 UMass Amherst midtermS09soln
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Math 441 midterm, spring 2005: on april 1, abc on north pleasant st decides it will need sometime late this summer, 50 pounds of hops to brew its beer the spot price for one pound of hops is. A futures contract, with contract size 10 pounds of hops and delivery date oct. Abc decides to take a long position on four futures contracts. On august 1, abc decides that it needs the hops. Hops are now sh. 75 a pound and the futures price has dropped to . It closes its position and buys the hops. Assume all risk free interest rates are 0%: the s&p index price is curently the risk-free rate is 5%. You take a short position in a 10 month futures contract on the s&p. What is the value of your position? (b) suppose the price of the s&p in six months from now is .
