Assume that the S&P 200 is at 3850.The continuous dividend yield is 5.5% per annum and the risk free rate is 6.5% per annum.An SPI contract with 45 days to expiry would be priced at?

A) $ \$ 3897.67 $
B) $ \$ 3852.87 $
C) $ \$ 3857.24 $
D) $ \$ 3854.75 $

Question

Assume that the S&P 200 is at 3850.The continuous dividend yield is 5.5% per annum and the risk free rate is 6.5% per annum.An SPI contract with 45 days to expiry would be priced at?

A) $ \$ 3897.67 $
B) $ \$ 3852.87 $
C) $ \$ 3857.24 $
D) $ \$ 3854.75 $

Quizplus · Accepted Answer

Using the example 15.7 on page 519,we can compute the price of this contract as follows:

Assume That the S&P 200 Is at 3850 $3897.67 \$ 3897.67 $3897.67

Assume That the S&P 200 Is at 3850 $\$ 3897.67$