IAI SP6
IAI Subject SP6 — Financial Derivatives Specialist Principles (Institute of Actuaries of India)
Derivative Pricing ValuationEnglish
Exam overviewPractice session
An equity index is currently at 18,500. The risk-free interest rate is 6.0% per annum continuously compounded, and the continuous dividend yield on the index is 2.0% per annum. What is the theoretical 6-month forward price of the index under no-arbitrage pricing?
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