1 The Multiplier For A Futures Contract On The Stock Market Index Is 250 The Maturit 2748077

1.The multiplier for a futures contract on the stock-market index is $250. The maturity of the contract is one year, the current level of the index is 600, and the risk-free interest rate is 0.3% per month. The dividend yield on the index is 0.2% per month. Suppose that after one month, the stock index is at 605. a)Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. b)Find the one-month holding-period return if the initial margin on the contract is $20,000.

 

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