Given the below information:
FBM KLCI = 1660 points
Annual Dividend yield = 2%
Annualized risk-free rate = 3%
Storage cost = 1%
Time to maturity = 3 months
3-month FBM KLCI futures =1680.00
Calculate the fair price of the corresponding CI futures. What strategy can you formulate to make profit from pricing differential?

Answer rating: 100% (QA)

Ans The net present value of FBM KLCI Index points storage cost dividend yield index points103 1... View the full answer