There is a futures contract on a stock index, which is currently selling at $200 per share.
Question:
There is a futures contract on a stock index, which is currently selling at $200 per share. The contract matures in two months; the risk-free rate is 5 percent annually. The stocks in the index do not pay dividends. What does the parity relationship imply the futures price should be?
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The spotfutures parity condition is F T S1 rd T where S is the spot ...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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