Problem

The current level of the S&P 500 is 800. The dividend yield on the S&P 500 is 2%...

The current level of the S&P 500 is 800. The dividend yield on the S&P 500 is 2%. The risk-free interest rate is 1%. What should a futures contract with a one-year maturity be selling for?

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Solutions For Problems in Chapter 17