题目
The current price of the S&P 500 Index is 1200. The one-year futures price is 1262; i.e., +5% continuously compounded. The volatility of the index is 18% per annum and the dividend yield is 2.0% per annum. If the risk-free rate is 4.0% per annum, what is the detla of the one-year futures contract on the S&P 500 Index?
选项
A.0.9802
B.1.0000
C.1.0202
D.1.0408
答案
C
解析
Delta =e^((r-q)T)= 1.0202Delta =e^((r-q)T)= 1.0202