Business, 28.07.2021 01:00 Blansery6819

The multiplier for a futures contract on a stock market index is $130. The maturity of the contract is 1 year, the current level of the index is 1,960, and the risk-free interest rate is 0.4% per month. The dividend yield on the index is 0.2% per month. Suppose that after 1 month, the stock index is at 1,980. Required:
a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.
b. Find the holding period return if the initial margin on the contract is $6,600.

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The multiplier for a futures contract on a stock market index is $130. The maturity of the contract...

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