02.

Suppose the value of the S&P 500 Stock Index is currently $3,000.

Required:

a. If the one-year T-bill rate is 3% and the expected dividend yield on the S&P 500 is 2%, what should the one-year maturity futures price be? (Do not round intermediate calculations.) b. What would the one-year maturity futures price be, if the T-bill rate is less than the dividend yield, for example, 1%? (Do not round intermediate calculations.)