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Vanyuwa [196]
3 years ago
5

The risk-free rate of interest is 7% per annum with continuous compounding, and the dividend yield on a stock index is 3.2% per

annum. The current value of the index is 150. What is the six-month futures price?
Business
1 answer:
Rufina [12.5K]3 years ago
3 0

Answer:

The six-month futures price is $152.88

Explanation:

Asset Price Sо = $150

Time T= 6/12 = 0.5

Risk free interest rate = 7%

Dividend yield = 3.2%

Fо = Sо e^(r-q)*r

Fо = $150 e^(0.07-0.032)0.07

Fо = $150 e^(0.038)0.07

Fо = $150 e^(0.019)

Fо = $152.8772

Fо = $152.88

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