easy · FRM Part 1 Foundations of Risk Management
A stock index is at $1,200, and the risk-free rate is 4% continuously compounded. The index provides a continuous dividend yield of 2%.
What is the no-arbitrage price of a six-month forward contract on the index?
- $1,212.06
- $1,188.06
- $1,224.24
- $1,200.00
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