Consider the "SINDY Index" Obtained by Averaging Stock Prices and a Synthetic

Multiple Choice

Consider the "SINDY index" obtained by averaging stock prices and a synthetic index "SINDY spot" that replicates its performance.SINDY's current level I is 11,000 and the synthetic index's price S is $11,000.Stocks constituting SINDY spot paid $200 in dividends last year and are expected to pay the same this year.Let the continuously compounded interest rate r be 5 percent per year.Then the six-month forward price on a newly written forward contract on SINDY is:

A) $10,981
B) $11,176
C) $11,201
D) $11,276
E) None of these answers are correct.