Question
The current level of the S&P 500 is 3000. The dividend yield on the S&P 500 is 2%. The risk-free interest rate is 3%. What
The current level of the S&P 500 is 3000. The dividend yield on the S&P 500 is 2%. The risk-free interest rate is 3%. What should be the fair price of a one-year maturity futures contract?
- Now assume that the futures contract is also traded for 3000. Is contract over or underpriced?
- Construct arbitrage portfolio for taking advantage of such price deviation
- Discuss whether such parity should also hold for Crude Oil futures. What considerations are involved for their arbitrage pricing?
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Fraud examination
Authors: Steve Albrecht, Chad Albrecht, Conan Albrecht, Mark zimbelma
4th edition
538470844, 978-0538470841
