问题如下:
A stock index futures contract has a remaining maturity of two months. The continuously compounded annual risk-free rate is 0.25%, and the continuously compounded dividend yield on stock index is 0.8%. The current index level is 1,350. The no-arbitrage futures price is:
选项:
A. 1347.84
B. 1,351.23
C. 1,348.76
解释:
C is correct.
考点:stock index futures定价
解析:
实在不好意思,想问下这道题计算器怎么按………因为0.25小于0.8,开方会报错啊……