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  3. 2. (proportional carrying charges suppose that u f

2. (Proportional carrying charges Suppose that u foiward contrac on an asset is written at...

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2. (Proportional carrying charges Suppose that u foiward contrac on an asset is written at time zero and there are M periods unti delivery Suppose that the camying chaige in period k is qSck), where Stk) is the spot price of the aset in period k Show that the forward price is d(0, M) FORWARDS, FUTURES, AND SWAPS (H?nt Consider a portfolio that pays all carrying costs by selling a fraction of the asset as required Let the number of units of the asset held at time k be (k) and find .r(M) ?n ierms of x (0)

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