Consider a six-month futures contract on the FTSE 100. Assume the stocks underlying the index provide an annual dividen
Posted: Mon Jan 17, 2022 8:07 am
Consider a six-month futures contract on the FTSE 100.
Assume the stocks underlying the index provide an annual
dividend yield of 6.2% and the value of the index is
6754.5.
Calculate the price of the index (to the nearest full index
point) if the continuously compounded risk-free interest rate is
(i) 6.9% and (ii) 5.
Assume the stocks underlying the index provide an annual
dividend yield of 6.2% and the value of the index is
6754.5.
Calculate the price of the index (to the nearest full index
point) if the continuously compounded risk-free interest rate is
(i) 6.9% and (ii) 5.