In: Finance
What is the 18-month forward price of the IF500 stock index?
Determine δ.
1.
Forward price=Spot price*e^(risk free
rate*t)=2016*e^(5%*18/12)=2173.01444818342
2.
dividend yield=risk free rte-1/t*ln(Forward price/Spot price)
=5%-1/2*LN(2016/1898.6)=2.00%