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