Question

Check my work 17 Suppose the value of the S&P 500 Stock Index is currently $2,550. 1.15 points a. If the one-year T-bill rate is 3.1% and the expected dividend yield on the S&P 500 is 2.2%, what should the one-year maturity futures price be? (Do not round intermediate calculations. Round your answer to 2 decimal places.) 8 03:50:06 Futures priceſ Skipped eBook b. What would the one-year maturity futures price be, if the T-bill rate is less than the dividend yield, for example, 1.2%? (Do not round intermediate calculations. Round your answer to 2 decimal places.) References Futures price

Answer 1

Futures price is given as equal to=Current value*exp((TBill rate-dividend yield)*t)

1.

=2550*exp((3.1%-2.2%)*1)

=2573.05

2.

=2550*exp((1.2%-2.2%)*1)
=2524.63