Exam fm sample questions - Society of Actuaries
Exam fm sample questions - Society of Actuaries
Exam fm sample questions - Society of Actuaries
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58.<br />
You are given the following information:<br />
i) The current price <strong>of</strong> stock A is 50.<br />
ii) Stock A will not pay any dividends in the next year.<br />
iii) The annual effective risk-free interest rate is 6%.<br />
iv) Each transaction costs 1.<br />
v) There are no transaction costs when the forward<br />
is settled.<br />
Based on no arbitrage, calculate the maximum price <strong>of</strong> a one-year forward.<br />
(A) 49.06<br />
(B) 50.00<br />
(C) 50.88<br />
(D) 53.00<br />
(E) 55.12