请教一道关于value of future contract， with dividend
大家好， level 1 有道例题：
The price a 6-month forward contract for which the underlying asset is a stock index with a value of 1,000 and a continuous dividend yield of 1%. Compute the value of a long position of the index increase to 1,050 immediately after the contract is purchase.
答案给的是：
1,050e^(-0.01*(0.5)) -1,015e^(-0.04*(0.5) )=49.75
我不理解的是，为什么第一个price只要compound dividends， 而不用compound Risk free rate |
发表于 2019-6-23 04:01
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