Question
In May of 201X, six-month futures on the Imaginary Country stock index traded at 15,330. Spot was 15,500. The interest rate was 15 percent and
In May of 201X, six-month futures on the Imaginary Country stock index traded at 15,330. Spot was 15,500. The interest rate was 15 percent and the dividend yield was 4 percent. Were the futures priced fairly?
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Handbook Of High Frequency Trading
Authors: Greg N. Gregoriou
1st Edition
0128022051, 978-0128022054
