Business, 17.12.2019 01:31 spezzatti221

The multiplier for a futures contract on the stock-market index is $250. the maturity of the contract is one year, the current level of the index is 900, and the risk-free interest rate is 0.5% per month. the dividend yield on the index is 0.2% per month. suppose that after one month, the stock index is at 911. a. find the cash flow from the mark-to-market proceeds on the contract. assume that the parity condition always holds exactly. (do not round intermediate calculations. round your answer to 2 decimal places.) cash flow $ b. find the one-month holding-period return if the initial margin on the contract is $10,000. (do not round intermediate calculations. round your answer to 2 decimal places.) holding-period return %

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The multiplier for a futures contract on the stock-market index is $250. the maturity of the contrac...

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