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Assume an SPI (ASX 200) futures contract with 0.5 years to expiry. Suppose that the shares comprising the index are estimated to give a dividend
Assume an SPI (ASX 200) futures contract with 0.5 years to expiry. Suppose that the shares comprising the index are estimated to give a dividend yield of 0.07 per annum (in decimal places). The current value of the SPI is 4,579; and the continuously compounded risk-free interest rate is 0.05 per annum (in decimal places) then the 0.5 year SPI futures price should be: Round off your answer to the nearest whole number.
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