Question

a. A futures contract on a stock with a current price of $120 matures in six...

a. A futures contract on a stock with a current price of $120 matures in six months. The risk-free rate is 4.5 percent per year and the stock has an annual dividend yield of 3 percent. What is the futures price?

b. Suppose you bought on S $ P 500 contract at a futures price of 4,500. The stock index price is $205 and at maturity, the S & P 500 had fallen to 4020. What is the contract size?

Homework Answers

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
A stock futures contract is priced at $58.38. The stock has a dividend yield of 1.9...
A stock futures contract is priced at $58.38. The stock has a dividend yield of 1.9 percent, and the risk-free rate is 6 percent. If the futures contract matures in eight months, what is the current stock price?
On January 1, you sell one April S&P 500 Index futures contract at a futures price...
On January 1, you sell one April S&P 500 Index futures contract at a futures price of 2,300. If the April futures price is 2,400 on February 1, your profit would be __________ if you close your position. (The contract multiplier is 250.) A) $12,500                        B)  -$25,000                 C)  $25,000                   D)  -$12,500 The current level of the S&P 500 index is 2,350. The dividend yield on the S&P 500 is 2%. The risk-free interest rate is 5%with continuous compounding. The futures price quote for a contract on...
Smith holds a long position for a Stock index futures contract which is four months from...
Smith holds a long position for a Stock index futures contract which is four months from maturity. A stock index currently stands at 350. The risk-free interest rate is 8% per annum (with continuous compounding) and the dividend yield on the index is 4% per annum. a) What should the futures price for a four-month contract be? b) Suppose one month later the stock price is 351. The dividend yield and index are the same. What is the value of...
The stock index futures contract is currently at 10000.00. If the risk-free rate is 3% per...
The stock index futures contract is currently at 10000.00. If the risk-free rate is 3% per year and the dividend yield is greater than 3%, which is a possible equilibrium futures price on a contract which mature in 9 months? 10200 10100 All of these answers are possible 10000 9800
The multiplier for a futures contract on a stock market index is $250. The maturity of...
The multiplier for a futures contract on a stock market index is $250. The maturity of the contract is three months, and the current level of the index is 3,350. The risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.1% per month. Suppose that after one month, the stock index is at 3,280. 1. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. 2....
1. Suppose that you enter into a six-month forward contract on a non-dividend-paying stock when the...
1. Suppose that you enter into a six-month forward contract on a non-dividend-paying stock when the stock price is $30 and the risk-free interest rate (with continuous compounding) is 12% per annum. What is the forward price? 2. A stock index currently stands at 350. The risk-free interest rate is 8% per annum (with continuous compounding) and the dividend yield on the index is 4% per annum. What should the futures price for a four-month contract be?
On March 15 the cash SP500 is priced 1000. The SP500 futures contract which matures 9...
On March 15 the cash SP500 is priced 1000. The SP500 futures contract which matures 9 months later in December has a price of 1200. The risk-free interest rate over this 9-month period is 5% while the dividend yield is 3%. Would an investor be better of investing his money in the spot SP500 or buying the futures contract on this index? better to invest in the spot market only if it increases more than the futures market over this...
The current level of the S&P 500 index is 2,250. The dividend yield on the S&P...
The current level of the S&P 500 index is 2,250. The dividend yield on the S&P 500 is 3%. The risk-free interest rate is 6% with continuous compounding. The futures price quote for a contract on the S&P 500 due to expire 6 months from now should be __________. A) 2,774.30                       B) 2,784.53                  C) 2,768.63                  D) 2,797.47
Consider a futures contract on a non-dividend paying stock with futures price $20 and time to...
Consider a futures contract on a non-dividend paying stock with futures price $20 and time to expiration 4 months. Assume that in four months the stock price will be either $22 or $19. Calculate the risk-neutral probabilities for the future stock prices.
Consider a futures contract on a non-dividend paying stock with futures price $20 and time to...
Consider a futures contract on a non-dividend paying stock with futures price $20 and time to expiration 4 months. Assume that in four months the stock price will be either $22 or $19. Calculate the risk-neutral probabilities for the future stock prices.
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT