Question
The S&R index spot price is $1100, the risk-free rate is 5%, and the continuous dividend yield on the index is 2%. a) What is
The S&R index spot price is $1100, the risk-free rate is 5%, and the continuous dividend yield on the index is 2%.
a) What is the no-arbitrage forward price for delivery in 6 months?
b) Find the price of a prepaid forward contract for deliver in 6 months.
c) Find the annualized forward premium or discount.
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Personal Finance
Authors: E. Thomas Garman, Raymond Forgue
8th Edition
0618471421, 9780618471423
