Given a stock index with a value of $1,200, an anticipated dividend of $45, and a risk-free rate of 6%, what should be the value of one futures contract on the index?

Question

Quizplus · Accepted Answer

The value of a futures contract on a stock index can be calculated using the formula: Futures Price = (Spot Price - Dividends) * e^(Risk-free rate * Time). Assuming the time to maturity is 1 year for simplicity, the calculation would be: (1200 - 45) * e^(0.06*1) = $1,227.00.

Given a Stock Index with a Value of $1,200, an Anticipated