
162 Derivatives and Risk Management
1. On January 1, you buy 10,000 shares of Jet Airways at INR
1,000, and you are concerned about a decrease in the price of
Jet Airways shares. ere is a March futures contract available.
e risk-free rate is 6%, and Jet Airways is expected to pay
a dividend of INR 90 on January 31. e contract in March
matures on March 28.
(i) Calculate the futures price on January 1.
(ii) On March 28, Jet Airways shares are selling at INR 976.
If you hedge your portfolio with Jet Airways futures and
sell your shares on March 28, what will be the realized
value of your hedged ...