Professional Documents
Culture Documents
(Fin
Markets)
Ashoka Kanetkar
May 2008
Problems
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Problem
A stock is expected to pay a dividend of Rs.
1 per share in two months and five months.
The stock price is Rs. 50. The RFIR is 8%
CC. An investor has just taken a a short
position in a six month forward contract on
the stock.
What is the forward price of the?
Three months later price in spot is Rs. 48.
Is investor making profit or loss after three
months?
Problem
Problems
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Spot 1.6080
90 day forward 1.6056
181 day forward 1.6018