Question
A future with an underlying value a non-dividend stock whose current price is 150 Euro, has a maturity of one year. a) If the risk-free
A future with an underlying value a non-dividend stock whose current price is 150 Euro, has a maturity of one year.
a) If the risk-free yield is 6% what should the value of the future be? b) What should be the value of a future if its duration is three years? c) How much should the future be if the risk-free rate is 8% and its duration is three years?
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Financial Trading And Investing
Authors: John Teall
3rd Edition
0323909558, 978-0323909556
