Question
Please answer type the question by using computer, so i can see it clearly, thank you!!! A stock market index futures contract has a one-year
Please answer type the question by using computer, so i can see it clearly, thank you!!!
A stock market index futures contract has a one-year maturity. The futures contract multiplier is $50. The index is currently at 30,000. The risk-free rate is 0.5 percent every month, while the stock market index dividend yield is 0.3 percent per month. The minimum starting margin required is 10%.
1(a) What is the parity value of the futures price now?
1(b) Assume the futures contract is fairly priced. How much initial margin you need to deposit if you long 1 contract?
1(c) Calculate the two-month holding-period return for your long position in the futures contract if the stock market index increases to 31,000 two months later. Assume the futures contract keeps being priced fairly.
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