Cash flow from the mark-to-marke


The multiplier for a futures contract on the stock market index is $230. The maturity of the contract is one year, the current level of the index is 860, and the risk-free interest rate is 0.8% per month. The dividend yield on the index is 0.2% per month. Suppose that after one month, the stock index is at 880.

Required: Find the cash flow from the mark-to-market proceeds on the contract. Assume that the parity condition always holds exactly.

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Finance Basics: Cash flow from the mark-to-marke
Reference No:- TGS046619

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