A stock index futures contract maturing in one year has a currently traded price of $1,000. The
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A stock index futures contract maturing in one year has a currently traded price of $1,000. The cash index has a dividend yield of 2 percent and the interest rate is 5 percent. Spot-futures parity then implies a cash index level of:
a. $933.33.
b. $970.87.
c. $1,071.
d. $1,029.
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The spotfutures parity relationship can be expressed as Spot price Futures price 1 r ...View the full answer
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Related Book For
Fundamentals Of Investments Valuation And Management
ISBN: 9781266824012
10th Edition
Authors: Bradford Jordan, Thomas Miller, Steve Dolvin
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