2. Pricing Fut ures Contracts (Easy, 15 points total) In each of the following examples, ignore the difference between futures and forward contracts. Assume that the risk-free zero rate for one year is 3.5% per annum with continuous compounding, and assume that all the delivery dates are one year from today. Assume that for each example the current spot price of the underlying asset is $100. (a) (3 points) A futures contract on a non-dividend paying stock. (b) (4 points) A futures contract on a dividend paying stock. We know it will pay one dividend of $3 in half a year. The zero rate for 6 months is 3% per annum with continuous compounding. (c) (4 points) A futures contract on a storable commodity held for investment purposes. Suppose the storage costs are $1 per month, but that the full storage costs for a year ($12) paid at the end of the year. can be commodity with no income and no storage costs, but a (d) (4 points) A futures contract on a convenience yield of 2.0% per annum expressed with continuous compounding