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QUESTION 39 On 1 January 2013, the FTSE100 Index stands at 4500. The March FTSE100 futures contract (valued at 10.00 per index point) is settled

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QUESTION 39 On 1 January 2013, the FTSE100 Index stands at 4500. The March FTSE100 futures contract (valued at 10.00 per index point) is settled on 31 March 2013. The continuously compounded funding rate is 6%, the historic dividend yield on the FTSE100 is 4% and you expect 20% of the total dividend payment to be made by the FTSE100 stocks between now and 31 March 2013. What is the fair value of the March FTSE100 futures contract? A. 4539.00 B. 4519.00 O C. 4559.00 O D.4529.00

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