Given a stock index with a value of $1,000, an anticipated dividend of $30, and a risk-free rate of 6%, what should be the value of one futures contract on the index?

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Quizplus · Accepted Answer

The value of a futures contract on a stock index can be calculated using the formula: Futures Price = (Spot Price - Dividend) * e^(Risk-free rate * Time). Assuming the time to maturity is 1 year (as not specified otherwise), the calculation would be: (1000 - 30) * e^(0.06*1) = 970 * e^0.06 ≈ $1,030. Therefore, the value of one futures contract on the index should be approximately $1,030.

Given a Stock Index with a Value of $1,000, an Anticipated