Forwards and Futures - New York University

Foundations of Finance: Forwards and Futures 10 V. Stock Index Forward-Spot Parity • The carrying cost for the index is c = rf - d where rf is the risk-free rate and d is the dividend yield. • Parity: F0 = S0(1 + rf - d) T where F0 is the futures price (today), S0 is the stock price (index level) today, T is the maturity of the contract ................
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