Current location - Trademark Inquiry Complete Network - Futures platform - Assume that the S&P 500 index is currently at 1,000 points. The dividend yield of the stocks included in the index is expected to be compounded continuously for 5 years per year and the risk-free inte
Assume that the S&P 500 index is currently at 1,000 points. The dividend yield of the stocks included in the index is expected to be compounded continuously for 5 years per year and the risk-free inte
Assume that the S&P 500 index is currently at 1,000 points. The dividend yield of the stocks included in the index is expected to be compounded continuously for 5 years per year and the risk-free interest rate is 10%.
The value of each point of the S&P 500 Index futures is US$250, which means the value of the futures contract = 1080*250= US$270,000.
Theoretical price of futures=1000*e^[(10%-5%)/4]=1000*e^0.0125=1000*1.01258=1012.58 points