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The current spot price of a non-dividend paying stock is $65, while the simple interest rate is 4.50 percent per year. Consider a forward contract
- The current spot price of a non-dividend paying stock is $65, while the simple interest rate is 4.50 percent per year. Consider a forward contract written on this stock with a maturity of 90 days.
- a)Calculate the forward price.
- b)What is the value of the contract?
- c)General Electric wants a 90-day forward contract with the delivery price set at $60. What is
- the value of this contract?
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Derivatives Markets
Authors: Robert L. McDonald
2nd Edition
032128030X, 978-0321280305
