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Consider a nine-month futures contract on a stock index. Suppose that the present level of the index is 1,325, the dividend yield on the index
Consider a nine-month futures contract on a stock index. Suppose that the present level of the index is 1,325, the dividend yield on the index is 1.9%, and the nine-month rate of interest is 8%. Suppose the futures contract has a single marking-to-market once at the end of the contract. What should the index futures price be? A) $1,406.93 B) $1,265.75 C) $1,387.03 D) $2,294.26
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