You enter into a 1-year futures contract on a non-dividend paying stock when the stock price is
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Question:
You enter into a 1-year futures contract on a non-dividend paying stock when the stock price is $100 and the risk-free interest rate is 5% per annum. Six months later the stock price has fallen to $90, and the interest rate is 6% per annum. Which of the answers below is closest to the change in the futures price? Assume discrete compounding and discounting.
a. -13.20
b. -11.40
c. -10.00
d. -12.34
Related Book For
Ethics in Accounting A Decision Making Approach
ISBN: 978-1118928332
1st edition
Authors: Gordon Klein
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