Question
A stock provides dividend of $1 at the end of the first, second, and third year, its spot price is $30 and the risk-free rate
A stock provides dividend of $1 at the end of the first, second, and third year, its spot price is $30 and the risk-free rate for all maturities (with continuous compounding) is 10%.
What is the four year forward price?
What is the value of this forward contract two years later if the forward price at that time is $40?
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
21st Edition
1634602048, 978-1634602044
