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The one-year futures price on a particular stock-index portfolio is 1,225, the stock index currently is 1,200, the one-year risk-free interest rate is 3.5%, and
The one-year futures price on a particular stock-index portfolio is 1,225, the stock index currently is 1,200, the one-year risk-free interest rate is 3.5%, and the year-end dividend that will be paid on a $1,200 investment in the index portfolio is $12.
Required:
By how much is the contract mispriced?
The future price is? The "proper" or parity value is?
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Basic Finance An Introduction to Financial Institutions, Investments and Management
Authors: Herbert B. Mayo
11th Edition
1285425790, 1285425795, 9781305464988 , 978-1285425795
