标题: 请教一道关于value of future contract， with dividend [打印本页] 作者: HAUTELOOK 时间: 2019-6-23 04:01 标题: 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
