Question
A one-year long forward contract on a non-dividend-paying stock is entered into when the stock price is $50 and the risk-free rate of interest is
A one-year long forward contract on a non-dividend-paying stock is entered into when the stock price is $50 and the risk-free rate of interest is 8% per annum with continuous compounding.
- What are the forward price and the initial value of the forward contract?
- Six months later, the price of the stock is $55 and the risk-free interest rate is still 8%. What are the forward price and the value of the forward contract?
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Forecasting Methods And Applications
Authors: Spyros G. Makridakis, Steven C. Wheelwright, Rob J Hyndman
3rd Edition
0471532339, 9780471532330
