ADMS 4503 Lecture Notes - Futures Exchange, S&P 500 Index, Dividend Yield

261 views4 pages

Document Summary

You must sign and submit the standard cover page supplied as the last page of this assignment. Staple your assignment prior to handing it in. This assignment is due on february 10, 2013. If it is handwritten and too difficult to read due to messiness and poor handwriting, it will receive zero credit. You must show your work to receive full credit. This assignment contains 5 questions and carries a total of 30 points. (4) (5) Ibm stock sells at . 50 and is expected to pay dividends of in 2 and 8 months respectively. The risk-free rate is 4% per annum continuously compounded for all maturities. We consider the 1-year futures contract on ibm. (a) what is the theoretical 1-year futures price? (2 marks) (b) the 1-year futures market price is . The s&p 500 spot is 1,472 and it is expected to pay a dividend yield of 2%. The risk-free rate is 4% per annum continuously compounded.

Get access

Grade+
$40 USD/m
Billed monthly
Grade+
Homework Help
Study Guides
Textbook Solutions
Class Notes
Textbook Notes
Booster Class
10 Verified Answers
Class+
$30 USD/m
Billed monthly
Class+
Homework Help
Study Guides
Textbook Solutions
Class Notes
Textbook Notes
Booster Class
7 Verified Answers

Related Documents

Related Questions