3.16 Stock Index (Page 64) Porfolio of stocks with weights: stock proportion market prices or market capitalization Examples: DJIA(10 times),S&P500(250 times) Nikkei 225(5 times), NASDAQ100, CAC-40, FT- SE100 Can be viewed as an investment asset paying a continuous dividend yield The futures price spot price relationship is therefore 0 o e(r q)T where g is the dividend yield on the portfolio represented by the index Options, Futures, and Other Derivatives, 4th edition@ 2000 by John C. Hull Tang Yincai, C 2003, Shanghai Normal University3.16 Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2003, Shanghai Normal University Stock Index (Page 64) • Porfolio of stocks with weights: stock proportion, market prices or market capitalization • Examples: DJIA (10 times), S&P500 (250 times), Nikkei 225 (5 times), NASDAQ100, CAC-40, FT￾SE100 • Can be viewed as an investment asset paying a continuous dividend yield • The futures price & spot price relationship is therefore F0 = S0 e (r–q )T where q is the dividend yield on the portfolio represented by the index