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The current spot price of the S&P/ASX 200 is 7,181 and a S&P/ASX 200 index futures contract is quoted at 7,220. The index pays a
The current spot price of the S&P/ASX 200 is 7,181 and a S&P/ASX 200 index futures contract is quoted at 7,220. The index pays a dividend yield of 2.8% per annum with continuous compounding and the risk-free interest rate is 4.8% per annum for all maturities with continuous compounding. What is the cost of carry for the S&P/ASX 200 index
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Theoretical Foundations For Quantitative Finance
Authors: Luca Spadafora, Gennady P Berman
1st Edition
9813202475, 978-9813202474
