1. The contract size of one futures contract on the S&P 500 is $250 times the S&P 500 futures price - an increase by 1 index point means a transfer of $250 from the short to the long position. Suppose today the S&P 500 index has reached 1460 index points, the S&P 500 pays a dividend yield of 4.5% per year, the term structure of interest rates is flat and the short rate is constant over time and equals 2% (c.c.).

(a) In absence of arbitrage opportunities, what is today's futures price of the S&P 500 futures with maturity in 50 days?

Answer rating: 100% (QA)

To calculate todays futures price of the SP 500 futures with a maturity of 50 days we can use the ... View the full answer