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13-5 The multiplier for a futures contract on a stock market Index is $85. The maturity of the contract is 1 year, the current level
13-5
The multiplier for a futures contract on a stock market Index is $85. The maturity of the contract is 1 year, the current level of the Index Is 1,870 , and the risk-free interest rate is 0.6% per month. The dividend yleld on the Index 150.2% per month. Suppose that after 1 month, the stock Index Is at 1,890. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. Find the holding-perlod return if the initial margin on the contract is $5,700. (Do not round intermedlate calculations. Round your answer to 2 decimal places.)Step by Step Solution
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