The Risk-Free Rate Is 5% and the Dividend Yield on an Index

question 9

Multiple Choice

The risk-free rate is 5% and the dividend yield on an index is 2%.Which of the following is the delta with respect to the index for a one-year futures on the index?

• A) 0.98
• B) 1.05
• C) 1.03
• D) 1.02

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