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Consider a futures contract written on a stock market index. The multiplier of the futures contract is $250 and the maturity is 1 year. The
Consider a futures contract written on a stock market index. The multiplier of the futures contract is $250 and the maturity is 1 year. The current level of index is 880 and the risk-free interest rate is 0.5% per month. The dividend yield on the index is 0.2% per month. Assume that dividend and interest are monthly compounded. What is the theoretical futures contract price from the spot-futures parity condition
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