Answer-first summary for fast verification
Answer: USD 3,191
B is correct. To calculate the price of a stock index futures contract, one needs to know the current price of the S&P 500 index, the risk-free interest rate, and the dividend yield of the index. Once these parameters are known, the ratio of 1+risk-free rate to 1+dividend yield raised to the time to settlement of the futures contract is multiplied by the current price of the index. In this case futures price = 3,200 * [(1+0.018)/(1+0.024)]^0.5 = 3,190.61
Author: LeetQuiz Editorial Team
Ultimate access to all questions.
A financial analyst employed by an investment firm is tasked with determining the cost of an S&P 500 Index futures contract that will expire in six months. To perform this calculation, the analyst has collected the following relevant market information:
A
USD 3,181
B
USD 3,191
C
USD 3,209
D
USD 3,229
No comments yet.