Explanation:
$3{,}750 \times \left[ (1.041) / (1.02) \right]^{0.25} = 3{,}769 $
(Book 3, Module 36.1, LO 36.f)
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Question 30
A small-cap equity index is trading at 3,750. The index pays an expected annual dividend yield of 2%, and the annually compounded risk-free rate is 4.1%. The value of a 3-month futures contract on the equity index is closest to:
A
3,770.
B
3,730.
C
3,710.
D
3,750.
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