a. A futures contract on a non-dividend-paying stock index with current value 150 has a maturity of

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a. A futures contract on a non-dividend-paying stock index with current value 150 has a maturity of one year. If the T-bill rate is 3%, what should the futures price be?

b. What should the futures price be if the maturity of the contract is three years?

c. What if the interest rate is 6% and the maturity of the contract is three years? P-636

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ISE Investments

ISBN: 9781266085963

13th International Edition

Authors: Zvi Bodie, Alex Kane, Alan Marcus

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Question Posted: Jul 31, 2024 05:01 AM

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a. A futures contract on a non-dividend-paying stock index with current value 150 has a maturity of

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ISE Investments

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