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发表于 2011-3-25 11:03 | 只看该作者

Reading 60: Forward Markets and Contracts-LOS b 习题精选

interpret, class, contract, forward, div
Session 16: Derivative Investments: Forwards and Futures
Reading 60: Forward Markets and Contracts

LOS b: Calculate and interpret the price and the value of an equity forward contract, assuming dividends are paid either discretely or continuously.

 

 

Calculate the no-arbitrage forward price for a 90-day forward on a stock that is currently priced at $50.00 and is expected to pay a dividend of $0.50 in 30 days and a $0.60 in 75 days.  The annual risk free rate is 5% and the yield curve is flat.

A)
 $50.31.
B)
 $49.49.
C)
 $48.51.

 

The present value of expected dividends is: $0.50 / (1.0530 / 365) + $0.60 / (1.0575 / 365) = $1.092

Future price = ($50.00 ? 1.092) × 1.0590 / 365 = $49.49

 

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发表于 2011-3-25 11:03 | 只看该作者

An index is currently 965 and the continuously compounded dividend yield on the index is 2.3%. What is the no-arbitrage price on a one-year index forward contract if the continuously compounded risk-free rate is 5%.

A)
 991.1.
B)
 991.4.
C)
 987.2.

FP = S0 e-δT (eRT) = S0 e(R-δ)T = 965e(.05-.023) = 991.4

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Jim Trent, CFA has been asked to price a three month forward contract on 10,000 shares of Global Industries stock. The stock is currently trading at $58 and will pay a dividend of $2 today. If the effective annual risk-free rate is 6%, what price should the forward contract have? Assume the stock price will change value after the dividend is paid.

A)
 $56.85.
B)
 $58.85.
C)
 $56.82.

One method is to subtract the future value of the dividend from the future value of the asset calculated at the risk free rate (i.e. the no-arbitrage forward price with no dividend).

FP = 58(1.06)1/4 – 2(1.06)1/4 = $56.82

This is equivalent to subtracting the present value of the dividend from the current price of the asset and then calculating the no-arbitrage forward price based on that value.

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The value of the S& 500 Index is 1,260.  The continuously compounded risk-free rate is 5.4% and the continuous dividend yield is 3.5%.  Calculate the no-arbitrage price of a 160-day forward contract on the index.

A)
 $1,270.54.
B)
 $562.91.
C)
 $1,310.13.

FP = 1,260 × e(0.054 ? 0.035) × (160 / 365) = 1,270.54

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发表于 2011-3-25 11:04 | 只看该作者

A stock is currently priced at $110 and will pay a $2 dividend in 85 days and is expected to pay a $2.20 dividend in 176 days. The no arbitrage price of a six-month (182-day) forward contract when the effective annual interest rate is 8% is closest to:

A)
 $110.00.
B)
 $110.20.
C)
 $110.06.

In the formulation below, the present value of the dividends is subtracted from the spot price, and then the future value of this amount at the expiration date is calculated.

(110 – 2/1.0885/365 – 2.20/1.08176/365) 1.08182/365 = $110.06

Alternatively, the future value of the dividends could be subtracted from the future value of the stock price based on the risk-free rate over the contract term.

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