标题: Reading 41 and Dividend Yields [打印本页] 作者: needhelp1700 时间: 2013-4-4 05:30 标题: Reading 41 and Dividend Yields
Why in all the examples are they not taking into account the dividend yield in calculating the futures price of the underlying index?
ie: index futures price = index value * rfr - div yield作者: smuggycfa 时间: 2013-4-4 05:39
I am pretty sure it should be P(F_T)=P(S)*(1+rfr-divyield)^T or P(S)*exp[(rfr-divyield)*T] depending on whether you are using continuous or discrete time.
The relationship is based on the law of one price. Two assets that provide identical cash flows, should have the same price.
Does that help?
