Show that the growth rate in an index futures price equals the excess return of the index

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Show that the growth rate in an index futures price equals the excess return of the index over the risk-free rate. Assume that the risk-free interest rate and the dividend yield are constant.

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:01 AM

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Show that the growth rate in an index futures price equals the excess return of the index over the risk-free rate. Assume that the risk-free interest rate and the dividend yield are constant.
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Show that the growth rate in an index futures price equals the excess return of the index

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Options Futures And Other Derivatives

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