Determine the Amount by Which a Stock Index Futures Is

Multiple Choice

Determine the amount by which a stock index futures is mispriced if the stock index is at 200,the futures is at 202.5,the risk-free rate is 6.45 percent,the dividend yield is 2.75 percent,and the contract expires in three months.

A) underpriced by 0.64
B) overpriced by 2.5
C) overpriced by 9.76
D) overpriced by 0.64
E) underpriced by 2.5