Question
The value of the S&P 500 index is 2,050. The risk-free rate is 5% and the continuous dividend yield is 2.5%. Calculate the no-arbitrage price
The value of the S&P 500 index is 2,050. The risk-free rate is 5% and the continuous dividend yield is 2.5%. Calculate the no-arbitrage price of a 210-day forward contract on the index. Assume continuous compounding and there are 365 days in a year.
(a) Calculate the no-arbitrage forward price of this contract.
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International financial management
Authors: Jeff Madura
9th Edition
978-0324593495, 324568207, 324568193, 032459349X, 9780324568202, 9780324568196, 978-0324593471
