Question
An investor plans to enter into a 250day forward contract on the S&P 500 index. The current value of the index is 2,357. With a
An investor plans to enter into a 250day forward contract on the S&P 500 index. The current value of the index is 2,357. With a continuously compounded riskfree rate of 8% and a continuously compounded dividend yield of 3%, what will the noarbitrage price of the forward contract be (assuming a 365day year)?
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Derivatives Markets
Authors: Rober L. Macdonald
4th edition
321543084, 978-0321543080
