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)A stock is expected to pay a dividend of $1 per share in two months and in five months. The stock price is $50, and the risk-free rate of interest is 8% per annum with continuous compounding for all maturities.
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)A stock is expected to pay a dividend of $1 per share in two months and in five months. The stock price is $50, and the risk-free rate of interest is 8% per annum with continuous compounding for all maturities. An investor has just taken a short position in a six-month forward contract on the stock. The forward contract is initiated today.

(1) the forward price of the forward contract is $_____ (保留四位小数)

(2) the initial value of the forward contract is $_____ (保留四位小数)

(3) Three months later, the forward price of the stock is 47.9699 for the same forward contract and the risk-free rate of interest is still 8% per annum. The value of the short position in the forward contract is $_____(保留四位小数)

User Masfenix
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1. The forward price would be 1.954

2. The initial value of the forward contract is zero

3. In three months the value of the short position in the forward contract is $47.96
User Tyler Gill
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