Estimate the futures price of the index for a three-month

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An index is currently at 1,200. The three-month risk-free rate is 3% per annum and the dividend yield over the next three months is 1.2% per annum. The six-month risk-free rate is 3.5% per annum and the dividend yield over the next six months is 1% per annum. Estimate the futures price of the index for a three-month contract and for a six-month contract. All interest rates and dividend yields are continuously compounded. Please show all calculations.

Reference no: EM132932952

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