What is the price of forward contract

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Reference no: EM131905416

1. The S&P 500 Index is priced at $1984. The continuously compounded annualized dividend yield on the index is 2.30%. The continuously compounded annual interest rate is 1.20%. What is the price of a forward contract that expires 9 months from today?

A. $1973.12

B. $2000.44

C. $1967.70

D. $1994.94

2. The S&P 500 Index price is $1975.12 and its annualized dividend yield is 2.20%. The annual LIBOR is 3.5% and is refered as the benchmark interest rate. Assuming annual compounding, how many futures contracts will you need to hedge a $30 million portfolio with a beta of 0.95 for one year?

A. 56

B. 59

C. 61

D. 57

Reference no: EM131905416

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