Answered step by step
Verified Expert Solution
Question
1 Approved Answer
The S&P 500 spot price is 4,157.50. The annual risk-free rate is 3.2% and the annual dividend yield on the S&P 500 Index is 3.9%.
The S&P 500 spot price is 4,157.50. The annual risk-free rate is 3.2% and the annual dividend yield on the S&P 500 Index is 3.9%. What is the 8-month E-mini futures price that satisfies parity?
E-mini S&P 500 Index: price quote is in index value (e.g., 4,145.50); contract size is a $50 multiple of the price quote; margin is 12,650
(Assume all bonds pay semi-annual coupons unless otherwise instructed. Assume all bonds have par values per contract of $1,000.)
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started