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elf_fu elf_fu
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7 years ago
The spot price of the market index is $900. A 3-month forward contract on this index is priced at $930. The market index rises to $920 by the expiration date. The annual rate of interest on treasuries is 2.4% (0.2% per month). What is the difference in the payoffs between a long index investment and a long forward contract investment? (Assume monthly compounding.)
A) $10.84
B) $24.59
C) $26.40
D) $43.20
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Derivatives Markets

Derivatives Markets


Edition: 3rd
Author:
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phuongha2892phuongha2892
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7 years ago
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elf_fu Author
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#2
7 years ago
Thank you Heavy Heart
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