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Suppose That the Current Level of the S&P 500 Index

Question 6

Multiple Choice

Suppose that the current level of the S&P 500 Index is 1,100. The prospective dividend yield is 3 percent, and the current risk-free interest rate is 7 percent. What is the value of a one-year futures contract on the index? (Assume all dividends are paid at the end of the year.)


A) 1,056
B) 1,144
C) 1,210
D) 995

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