An index is 1,200. The three-month risk-free rate is 3% per annum and the dividend yield
Chapter 5, Problem 5.27(choose chapter or problem)
An index is 1,200. The three-month risk-free rate is 3% per annum and the dividend yield over the next three months is 1.2% per annum. The six-month risk-free rate is 3.5% per annum and the dividend yield over the next six months is 1% per annum. Estimate the futures price of the index for three-month and six-month contracts. All interest rates and dividend yields are continuously compounded.
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