Forward contract

months, forward, contract

index level 14780
index continously compounded dividend yield 2.76%
discrete risk free rate 5.5%
compute 6 months forward contract

a. 14992
b. 14981
c. 15582

Houjichasan

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发表于 2011-7-13 13:21 | 只看该作者

rounding.... I too am getting 14972 ...

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iteracom

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发表于 2011-7-13 13:21 | 只看该作者

yes B as per CPs explanation

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WarrenB1

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发表于 2011-7-13 13:21 | 只看该作者

I see. Thanks CP.

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mp3bu

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发表于 2011-7-13 13:21 | 只看该作者

0.055 is wrong... since it is a discrete rate - you need to "continuify" it.

you need to do

ln (1.055) = 0.0535

and use that.

if the numbers are closer than what is provided, it could make a difference to your answer.

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zephyranalyst