The CME lists futures contracts on the S&P 500 Total Return (TR) index. Assume that the S&P
Fantastic news! We've Found the answer you've been seeking!
Question:
The CME lists futures contracts on the S&P 500 Total Return (TR) index. Assume that the S&P 500 TR index does not pay dividends and ignores other sources of distributions. Define the following variables:
FTR : price of the S&P 500 TR index futures
STR : level of the S&P 500 TR index
F : price of the S&P 500 index futures
S : level of the S&P 500 index
T : time to maturity of the futures above
Use these variables to derive a formula for the implied continuously compounded dividend yield of the S&P 500 index, denoted as δ.
Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date: