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The current price of the HD stock is $32 and the annualized 6-month spot rate is 1.2%. What is the fair price of a
The current price of the HD stock is $32 and the annualized 6-month spot rate is 1.2%. What is the fair price of a 6-month futures contract on 700 shares of HD if the HD stock pays a $0.64 dividend just before the futures' maturity? (Hint: Since the maturity is 6 months and the provided rate is annualized, you should use T = 0.5.)
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
