问一道题：NO.PZ2019010402000002

问题如下：

A stock index futures contract has a remaining maturity of two months. The continuously compounded annual risk-free rate is 0.25%, and the continuously compounded dividend yield on stock index is 0.8%. The current index level is 1,350. The no-arbitrage futures price is:

选项：

1347.84

1,351.23

1,348.76

解释：

C is correct.

考点：stock index futures定价

解析：

$F_0(T)=1350\times e^{(0.25\%-0.8\%)}\times^{(60/360)}=1,348.76$