Assume that interest rates are constant.Given a risk-free rate of 6 percent,a dividend yield of 2 percent,and index level of 1,100,then the stock market index futures price with delivery in 3 months is:

Question

Quizplus · Accepted Answer

The formula for futures price is F = S * e^[(r-q) * t], where F is the futures price, S is the spot price, r is the risk-free rate, q is the dividend yield, and t is the time to delivery. Plugging in the values, we get F = 1100 * e^[(0.06-0.02) * (3/12)] = 1111.06, which is closest to option B.

Assume That Interest Rates Are Constant