Question
The one-year futures price on a particular stock-index portfolio is 2,120, the stock index currently is 2,100, the one-year risk-free interest rate is 2.0%, and
The one-year futures price on a particular stock-index portfolio is 2,120, the stock index currently is 2,100, the one-year risk-free interest rate is 2.0%, and the year-end dividend that will be paid on a $2,100 investment in the index portfolio is $20.
Required:
By how much is the contract mispriced? (Input the amount as positive value.)
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International Financial Reporting Standards An Introduction
Authors: Belverd Needles, Marian Powers
2nd edition
053847680X, 978-1111793234, 1111793239, 978-0538476805
