contestada

A stock index currently stands at 107. The risk-free interest rate is 8.75% per annum (with continuous compounding) and the dividend yield on the index is 2.75% per annum. What should the futures price for a 6-month contract be? (Answer with two decimal accuracy. Example: 132.06)

Respuesta :

Parrain

Answer: $110.25

Explanation:

Futures price is calculated by the formula:

= Strike price * e ^ (risk free interest rate - dividend yield) * annualized time to expiry

= 107 * e^(8.75% - 2.75%) * 6/12 months

= $110.25

Otras preguntas