Question
Suppose that the risk free interest rate is 12% per annum with continuous compounding and a stock that pavs 1 dollar dividend in 3, 6
Suppose that the risk free interest rate is 12% per annum with continuous compounding and a stock that pavs 1 dollar dividend in 3, 6 and 9 months time. The current stock price is $40, and the futures price for a contract deliverable in 11 months is $45.
- What is the theoretical futures price?
- What arbitrage opportunities does this create (show arbitrage strategies with cash flows)
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The Future Of Real Estate Early Warning Realtors
Authors: Anya Bartholomew
1st Edition
1975711149, 978-1975711146
