medium · Market Microstructure
An arbitrageur notes that the S&P 500 index is at 5,000. The risk-free rate is 4%, the dividend yield is 1%, and the futures contract expires in 90 days.
Using the cost-of-carry model with continuous compounding, what is the fair value of the futures contract?
- 5012.38
- 5062.92
- 5050.00
- 5037.14
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