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Calculating Future Price

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Contract Maturity Data Actual Futures Price
January 15 $105.00
March 15 $105.10

Suppose the effective annual T-Bill rate is expected to persist at 5% and that the dividend yield is 4% per year. Calculate the "correct" March futures price relative to the January price and comment on any arbitrage opportunity.

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Solution Summary

This solution provides calculations for future prices in Excel.

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  • MBA, Indian Institute of Finance
  • Bsc, Madras University
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