the multiplier of a futures contract on the stock market index is $250. The maturity of the contract is one year. The current level of the index is 2600 , and the risk free interest rate is .2% per month. The dividend yield on the index is ..4% per month. Suppose that after five months, the stock index is at $2533. Assume that the party condition always hold exactly. Find the holding period return for the short position if the initial margin of the contract is 10% of the original contract value.

the multiplier of a futures contract on the stock market index is $250. The maturity of the contract is one year. The current level of the index is 2600 , and the risk free interest rate is .2% per month. The dividend yield on the index is ..4% per month. Suppose that after five months, the stock index is at $2533. Assume that the party condition always hold exactly. Find the holding period return for the short position if the initial margin of the contract is 10% of the original contract value.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter2: The Domestic And International Financial Marketplace

Section: Chapter Questions

Problem 4P

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