Finance
with Dr. John
Elder
LE#4
Chapt 5
(Determination of Futures
Prices) # 8,10-15,
23
Chapt 5
10. 152.88
11. This problem is not clear on what approach to take, but try
calculating the avg div yld over 5 months -- you should get 3.2%.
From that use the no arbitrage formula for futures with
continuous dividend yield, F0=1331.80
12. F0 = 408.08
13. Use F0 = S0 exp((r-rf)t) to show interest rate differential (r-rf) is -1.48% per annum
14. On own
15. F0=9.89; Hint: First, find the present
value of the quarterly storage costs. Note that they are paid quarterly in advance.
23. F0=50.01. In 3 months, F0=47.96
and value of long forward position is -2.01.