Suppose S&P 200 is at 6020.Assume the continuous dividend yield is 4.5% p.a.and the risk-free rate of returns is 3% p.a.If a SPI futures contract has 62 days left to expiry,what should its price be?

A) 3019
B) 3048
C) 5795
D) 6005

Question

Suppose S&P 200 is at 6020.Assume the continuous dividend yield is 4.5% p.a.and the risk-free rate of returns is 3% p.a.If a SPI futures contract has 62 days left to expiry,what should its price be?

A) 3019
B) 3048
C) 5795
D) 6005

Quizplus · Accepted Answer

Using the equation on,page 519,Example 15.7,for the cost of carry model,we can compute the price for the futures contract as follows: F_t = 6020e^(0.03^-^0.0⁴⁵⁾⁽⁶²^/365) = 6005.

Suppose S&P 200 Is at 6020