Question
Given the below information: FBM KLCI = 1660 points Annual Dividend yield = 2% Annualized risk-free rate = 3% Storage cost = 1% Time to
Given the below information:
FBM KLCI = 1660 points
Annual Dividend yield = 2%
Annualized risk-free rate = 3%
Storage cost = 1%
Time to maturity = 3 months
3-month FBM KLCI futures =1680.00
Calculate the fair price of the corresponding CI futures. What strategy can you formulate to make profit from pricing differential?
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Ans The net present value of FBM KLCI Index points storage cost dividend yield index points103 1...
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Essentials Of Statistics For Business And Economics
Authors: David Anderson, Thomas Williams, Dennis Sweeney, Jeffrey Cam
7th Edition
1305081595, 978-1305081598
