Question
Compute the initial price of a futures contract on the same ZCB of the previous two questions. The futures contract has an expiration oft=4.(r0,0=5%,u=1.1,d=0.9andq=1q=1/2.)
Compute the initial price of a futures contract on the same ZCB of the previous two questions. The futures contract has an expiration oft=4.(r0,0=5%,u=1.1,d=0.9andq=1q=1/2.)
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Forecasting Methods And Applications
Authors: Spyros G. Makridakis, Steven C. Wheelwright, Rob J Hyndman
3rd Edition
0471532339, 9780471532330
