D & R A1 3 - 2 Question 3. Stock Futures with Dividends Today is January 3. Your friend David has just bought a futures contract on a stock index, and the contract specifies one year to expiration....


D & R A1 3 - 2


Question 3. Stock Futures with Dividends


Today is January 3. Your friend David has just bought a futures contract on a stock index, and the contract specifies one year to expiration. The current share price is $80, and the annually compounded interest rate is 10%. The stock will pay quarterly dividends of $2 during the next year, with dividends payments on the following dates:



  • January 25

  • April 25

  • July 25

  • October 25


Assume that this is a non-leap year.



  1. What is the cost-of-carry on this futures contract on January 3?



Jun 05, 2022
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