On a particular day, the September S&P 5 0 0 stock index futures ( think of this
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Question:
On a particular day, the September S&P stock index futures think of this as a forward was priced at The S&P index was at The contract expires days later.
a Assuming continuous compounding, suppose the riskfree rate is and the dividend yield on the index is In the futures overpriced or underpriced? You need to find the theoretical futures price and compare it to the market price
b In days, what would be the value of the contract to the long position when the index is ie Sin days Assume that the continuously compounding riskfree rate is still percent and the dividend yield on the index is percent.
Related Book For
Introduction To Derivatives And Risk Management
ISBN: 9781305104969
10th Edition
Authors: Don M. Chance, Robert Brooks
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