Question
A short futures contract on a non-dividend paying stock was entered some time ago. It now has 6 months to maturity. The risk-free rate of
A short futures contract on a non-dividend paying stock was entered some time ago. It now has 6 months to maturity. The risk-free rate of interest is 10% per year. The stock is currently trading at $25/share and the delivery price is $24/share.
How much is your position worth today (ignore marking to market costs) ?
How things would be different if the stock had a dividend of $1per?
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Answer Amount Period FV Period Years FVF 5 FV Spot Rate 2500 0 050 10...
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Risk Management and Financial Institutions
Authors: Hull John
4th edition
1118955943, 978-1118955949
