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Consider a non-dividend paying stock with current price $384.72. The 1-year spot rate is 3.7% and a futures contract on the stock with maturity
Consider a non-dividend paying stock with current price $384.72. The 1-year spot rate is 3.7% and a futures contract on the stock with maturity 1 year is trading at $402.94. Suppose you start with zero capital and borrow at the 1-year spot rate to buy 360 shares of the stock. Moreover, you sell 360 futures contracts. The payoff of your position at maturity is
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Investments
Authors: Zvi Bodie, Alex Kane, Alan Marcus, Stylianos Perrakis, Peter
8th Canadian Edition
007133887X, 978-0071338875
