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Fair value of the june 2020 klse ci futures contract

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Assume it is now January 1996 and the KLSE composite index is at 1146. The risk-free interest rate is 5% p.a. The weighted average dividend yield of the KLSE composite index is 2.3% p.a. What would be the fair value of the June 2020 KLSE CI futures contract? Maturity is 6 months.

Two answer are required. First, assume that the interest is continuous compounding and the second, interest rate is assume non-continuous compounding ( i.e. simple interest).

Reference no: EM132601543

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