Consider a single stock futures contract on Apple stock Consider the following scenario Annualized, continuously compounded risk free interest rate for 2 month period r 2 95 Annualized, continuously compounded risk free interest rate for 4 month period r 5 65 Current spot price of Apple stock $562 per share Dividend per share of $0 62 in 2 months Contract expiration T 4 months Futures price on Apple single stock futures $600 per share An arbitrage opportunity exists What is the net profit per share when the futures contract expires Use a strategy that has zero net cash flows today and zero net cash flows in two months Consider a single stock futures contract on Exxon Mobil stock Consider the following scenario Annualized, continuously compounded risk free interest rate for 3 month period r 3 16 Annualized, continuously compounded risk free interest rate for 5 month period r 5 21 Current spot price of Exxon Mobil stock $154 per share Dividend per share of $0 64 in 3 months Contract expiration T 5 months Futures price on Exxon Mobil single stock futures $150 per share An arbitrage opportunity exists What is the net profit per share when the futures contract expires Use a strategy that has zero net cash flows today Suppose that an Intel single stock futures contract expires in four months The stock pays a dividend in two months We have the following information Annualized, continuously compounded risk free interest rate for 2 month period r 3 86 Annualized, continuously compounded risk free interest rate for 4 month period r 4 95 Current spot price of Intel stock $30 per share Dividend per share of $0 24 in two months What must the futures price equal in order than no arbitrage opportunity exist The spot price of an investment asset is $47 per unit and the annualized risk free rate for all maturities (with continuous compounding) is 6 The asset provides an income of $1 68 per unit at the end of the first and second years Assuming no arbitrage opportunities exist, what is the forward price on a forward contract that matures in 3 years

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Posted on Oct 03, 2024

Consider a single-stock futures contract on Apple stock. Consider the following scenario: Annualized, continuously compounded risk-free interest rate for 2-month period: r = 2.95%. Annualized,

Consider a single-stock futures contract on Apple stock. Consider the following scenario:

Annualized, continuously compounded risk-free interest rate for 2-month period: r = 2.95%.
Annualized, continuously compounded risk-free interest rate for 4-month period: r = 5.65%.
Current spot price of Apple stock: $562 per share.
Dividend per share of $0.62 in 2 months.
Contract expiration: T = 4 months.
Futures price on Apple single-stock futures: $600 per share.

An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero netcash flows today and zero net cash flows in two months.

Consider a single-stock futures contract on Exxon-Mobil stock. Consider the following scenario:

Annualized, continuously compounded risk-free interest rate for 3-month period: r = 3.16%.
Annualized, continuously compounded risk-free interest rate for 5-month period: r = 5.21%.
Current spot price of Exxon Mobil stock: $154 per share.
Dividend per share of $0.64 in 3 months.
Contract expiration: T = 5 months.
Futures price on Exxon Mobil single-stock futures: $150 per share.

An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today.

Suppose that an Intel single-stock futures contract expires in four months. The stock pays a dividend in two months. We have the following information.

Annualized, continuously compounded risk-free interest rate for 2-month period: r = 3.86%.
Annualized, continuously compounded risk-free interest rate for 4-month period: r = 4.95%.
Current spot price of Intel stock: $30 per share.
Dividend per share of $0.24 in two months.

What must the futures price equal in order than no arbitrage opportunity exist?

The spot price of an investment asset is $47 per unit and the annualized risk-free rate for all maturities (with continuous compounding) is 6%. The asset provides an income of $1.68 per unit at the end of the first and second years. Assuming no arbitrage opportunities exist, what is the forward price on a forward contract that matures in 3 years?