Question
Determine the amount by which a stock index future is mispriced if the stock index is at 200, the futures is at 202.5, the risk-free
Determine the amount by which a stock index future is mispriced if the stock index is at 200, the futures is at 202.5, the risk-free rate is 6.45 percent, the dividend yield is 2.75 percent, and the contract expires in three months. Is it overpriced or underprice and by how much?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
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