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The one-year futures price on a particular stock-index portfolio is 1,184.74, the stock index currently is 1,175, the one-year risk-free interest rate is 1.94%,
The one-year futures price on a particular stock-index portfolio is 1,184.74, the stock index currently is 1,175, the one-year risk-free interest rate is 1.94%, and the year-end dividend that will be paid on a $1,175 investment in the index portfolio is $17.98. By how much is the contract mispriced? future price - parity price $
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Elementary Statistics A Step By Step Approach
Authors: Allan Bluman
8th Edition
73386103, 978-0073386102
