题目
Consider a 6-month futures contract on the S&P 500, and suppose the current value of the index is1330. Suppose the continuously dividend yield is 1.5% annually for the stocks underlying the index, and that the continuously compounded risk-free interest rate is 5.5% annually. What is the cost of carry for this futures contract?
选项
A.4.0%
B.-4.0%
C.2.0%
D.-2.0%
答案
A
解析
r﹣d=5.5%﹣1.5%=4% 本题文字解析 r﹣d=5.5%﹣1.5%=4%