Suppose a 9-month futures contract on a non-dividend paying stock with a share price of R60 and
Fantastic news! We've Found the answer you've been seeking!
Question:
Suppose a 9-month futures contract on a non-dividend paying stock with a share price of R60 and a risk-free interest rate of 0.8363% per month. You estimate that futures price should be priced to be R64.67 (Its intrinsic or fair value). Assume that the actual futures price available in the market is R64. Ignoring transaction and other costs, detail the appropriate arbitrage strategy both cases.
Related Book For
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
Posted Date: