Step 2: e number of days from April 18 to the maturity of a June contract (June 24) is 72 days.
Step 3: e company pays dividends of INR 40 on June 3. e number of days from the dividend payment date to
the maturity date is 22.
Step 4: As there are dividends paid, the price will be calculated using F
0
= S
0
×e
rT
– D ×e
r(T–t)
.
Step 5: e price of a May contract is F
0
= 235 ×e
(0.08×72/365)
– 40 ×e
(0.08×22/365)
= INR 198.54.
It can be seen that the futures price of the June contract is lower than the futures contract prices of ...
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