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Assume the following: (a) The spot index, the FBM KLCI is now 1,705 points; (b) The average annual dividend yield of the FBM KLCI is

Assume the following:

(a) The spot index, the FBM KLCI is now 1,705 points; (b) The average annual dividend yield of the FBM KLCI is 1.0%; (c) The risk-free interest rate is 3% annualised; and (d) Index multiplier is RM50.

What would be the correct (or intrinsic or theoretical) price of a stock index futures (SIF) contract if it matures in 3 months?

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