Ndlovu is also evaluating the forward contract in Zulu Mineral Mining (Zulu) stock to determine if an arbitrage opportunity exists. The South African 12-month prime rate is 3.25%. The spot price for Zulu is ZAR 60.50. Zulu pays an annual dividend of ZAR3.00 on a semiannual basis, and the next dividend is paid in three months. Interest compounds annually.
Q. The three-month forward price for Zulu stock is closest to:
- ZAR63.99.
- ZAR59.47.
- ZAR57.99.
Solution
C is correct. The formula for calculating the forward price (F0[T]), where S denotes the spot market price, g (gamma) denotes carry benefits such as dividends or interest payments, and q (theta) denotes carry costs, is: F0(T) = FV0,T(S0 + q0 – g0) = FV0,T(S0) + FV0,T(q0) – FV0,T(g0) = 60.5(1 + 0.325)3/12 + 0 – 3.00 = ZAR57.99. The dividend received is a carry benefit that decreases the cost of the forward price.
此题说每年股利3元，半年一次，下次股利三个月后支付，我觉得是60.5（1+3.25%）的0.25次方-1.5啊，为什么答案-3呢，那是全年股利啊
