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Business, 29.10.2021 18:40 johndacres8280

The multiplier for a futures contract on a stock market index is $100. The maturity of the contract is 1 year, the current level of the index is 1,900, and the risk-free interest rate is 0.5% per month. The dividend yield on the index is 0.2% per month. Suppose that after 1 month, the stock index is at 1,920. a. Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly. (Do not round intermediate calculations. Round your answer to 2 decimal places.) b. Find the holding-period return if the initial margin on the contract is $6,000. (Do not round intermediate calculations. Round your answer to 2 decimal places.)

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The multiplier for a futures contract on a stock market index is $100. The maturity of the contract...
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