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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 annual rate of interest on treasuries is 2.4% (0.2% per month). What annualized rate of interest makes the net payoff zero? (Assume monthly compounding.)
A) 4.8%
B) 8.5%
C) 11.2%
D) 13.2%
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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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7 years ago
You make an excellent tutor!
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Correct Slight Smile TY
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this is exactly what I needed
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