Question

Check my work 19 A single stock futures contract on a nondividend-paying stock with current price $150 has a maturity of one year. a. If the T-bill rate is 3.6%, what should the futures price be? (Round your answer to 2 decimal places.) 1.15 points Futures price 8 03:49:43 Skipped eBook b. What should the futures price be if the T-bill rate is still 3.6% and the maturity of the contract is three years? (Do not round intermediate calculations. Round your answer to 2 decimal places.) References Futures price c. What if the interest rate is 5.9% and the maturity of the contract is three years? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Futures priceſ

Answer 1

CASE 1: ANNUAL COMPOUNDING

1.

=150*(1+3.6%)^1=155.40
2.

=150*(1+3.6%)^3=166.79

3.

=150*(1+5.9%)^3
=178.15

CASE 2: CONTINUOUS COMPOUNDING

1.

=150*exp(3.6%*1)

=155.50

2.

=150*exp(3.6%*3)

=167.11

3.

=150*exp(5.9%*3)
=179.04