The share price of Asian Paints on July 1 is Rs 1400 and a September futures contract on Asian Paints has price of Rs 1420.633. The contract size is 200 shares per futures contract, and the maturity is on September 28. The risk free rate is 6%. Show how you can replicate a long futures position using stocks and risk free assets.

The share price of Asian Paints on July 1 is Rs 1400 and a September futures contract on Asian Paints has price of Rs 1420.633. The contract size is 200 shares per futures contract, and the maturity is on September 28. The risk free rate is 6%. Show how you can replicate a long futures position using stocks and risk free assets.

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter6: Fixed-income Securities: Characteristics And Valuation

Section: Chapter Questions

Problem 13P

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