The value of the S&P 500 index is 2,050. The risk-free rate is 5% and the continuous

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The value of the S&P 500 index is 2,050. The risk-free rate is 5% and the continuous dividend yield is 2.5%. Calculate the no-arbitrage price of a 210-day forward contract on the index. Assume continuous compounding and there are 365 days in a year.

(a) Calculate the no-arbitrage forward price of this contract.

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International financial management

ISBN: 978-0324593471

9th Edition

Authors: Jeff Madura

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Posted Date: Nov 22, 2020 08:47 PM

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The value of the S&P 500 index is 2,050. The risk-free rate is 5% and the continuous

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International financial management

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