
Financial Risk Manager Part 1
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A financial analyst needs to evaluate the value of a futures contract for a stock index, which will expire in 6 months. Currently, the stock index is valued at USD 750. The annual risk-free interest rate is 3.5%, compounded continuously. Alongside this, the stocks comprising the index provide a dividend yield which is also continuously compounded at an annual rate of 2.0%. Calculate the price of the 6-month futures contract based on the provided data.
A financial analyst needs to evaluate the value of a futures contract for a stock index, which will expire in 6 months. Currently, the stock index is valued at USD 750. The annual risk-free interest rate is 3.5%, compounded continuously. Alongside this, the stocks comprising the index provide a dividend yield which is also continuously compounded at an annual rate of 2.0%. Calculate the price of the 6-month futures contract based on the provided data.
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