Explanation:
The futures price is given by the formula for a stock index with known dividend yield:
Where:
Thus, the two-year futures price is:
Q.4899 What is the 2-year futures price on the stock index, whose value is USD 2,000, and that the annually compounded risk-free rate is 5% per annum, and the annual dividend yield on the index is 2%?
A
$2,119.38
B
$2,289.80
C
$2,121.80
D
$1,887.34
No comments yet.