Question
The current value of the index is 585. Three-month futures on the index are trading at 600. The continuous dividend yield on the index is
The current value of the index is 585. Three-month futures on the index are trading at 600. The continuous dividend yield on the index is d= 3% and the continuously compounded riskless rate is also 3%.
- What is the fair futures price?
- Construct an arbitrage free strategy that exploits the situation.
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Essentials Of Real Estate Finance
Authors: David Sirota, Doris Barrell
14th Edition
1475428391, 9781475428391
