A stock index currently stands at 350. The risk-free interest rate is 6% per annum (with continuous compounding) and the dividend yield on the index is 1.2% per annum. What should the futures price for an eight-month contract be? O a. $ 364.28 O b. $338.98 O c. $ 355.65 d. $ 361.38

A stock index currently stands at 350. The risk-free interest rate is 6% per annum (with continuous compounding) and the dividend yield on the index is 1.2% per annum. What should the futures price for an eight-month contract be? O a. $ 364.28 O b. $338.98 O c. $ 355.65 d. $ 361.38

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter5: Financial Options

Section: Chapter Questions

Problem 4P: Put–Call Parity The current price of a stock is $33, and the annual risk-free rate is 6%. A call...

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Question

A stock index currently stands at 350. The risk-free interest rate is 6% per annum (with
continuous compounding) and the dividend yield on the index is 1.2% per annum.
What should the futures price for an eight-month contract be?
O a. $ 364.28
O b. $ 338.98
O c. $ 355.65
O d. $ 361.38

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