NO.PZ2019010402000002
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:
1