Question
#13 on a particular day, the September S&P 500 stock index futures was priced at 960.50.The S&P 500 index was at 956.49.The contract expires 73
#13 on a particular day, the September S&P 500 stock index futures was priced at 960.50.The S&P 500 index was at 956.49.The contract expires 73 days later.
a)Assuming continuous compounding, suppose the risk free rate is 5.96 percent and the future value of dividends on the index is $5.27.Is the futures overpriced or underpriced?
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Fundamentals of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
5th edition
205989756, 978-0205989751
