a. A single-stock futures contract on a non-dividend-paying stock with current price $150 has a maturity of 1 year. If the T-bill rate is 3%, what should the futures price be?b. What should the futures price be if the maturity of the contract is 3 years?c. What if the interest rate is 6% and the maturity of the contract is 3 years?
a. A single-stock futures contract on a non-dividend-paying stock with current price $150 has a maturity of 1 year. If the T-bill rate is 3%, what should the futures price be?b. What should the futures price be if the maturity of the contract is 3 years?c. What if the interest rate is 6% and the maturity of the contract is 3 years?
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 6P: Binomial Model The current price of a stock is 20. In 1 year, the price will be either 26 or 16. The...
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a. A single-stock futures contract on a non-dividend-paying stock with current price $150 has a maturity of 1 year. If the T-bill rate is 3%, what should the futures price be?
b. What should the futures price be if the maturity of the contract is 3 years?
c. What if the interest rate is 6% and the maturity of the contract is 3 years?
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