NGN School Of Business and Economics|
Department of Finance and Investment|
Derivatives Practice Examination-2026
Determination Of Forward and Futures Prices
Academic Year: 2025/2026
1. Which of the following is a consumption asset?
A. The S&P 500 index
B. The Canadian dollar
C. Copper
D. IBM stock
C. Copper
A, B, and D are investment assets (held by at least some investors purely for investment
purposes). C is a consumption asset.
2. An investor shorts 100 shares when the share price is $50 and closes out the position six
months later when the share price is $43. The shares pay a dividend of $3 per share during the
six months. How much does the investor gain?
A. $1,000
B. $400
C. $700
D. $300
B. $400
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, The investor gains $7 per share because he or she sells at $50 and buys at $43. However, the
investor has to pay the $3 per share dividend. The net profit is therefore 7−3 or $4 per share.
100 shares are involved. The total gain is therefore $400.
3. The spot price of an investment asset that provides no income is $30 and the risk-free rate for
all maturities (with continuous compounding) is 10%. What is the three-year forward price?
A. $40.50
B. $22.22
C. $33.00
D. $33.16
A. $40.50
The 3-year forward price is the spot price grossed up for 3 years at the risk-free rate. It is
30e0.1×3 =$40.50.
4. The spot price of an investment asset is $30 and the risk-free rate for all maturities is 10%
with continuous compounding. The asset provides an income of $2 at the end of the first year
and at the end of the second year. What is the three-year forward price?
A. $19.67
B. $35.84
C. $45.15
D. $40.50
B. $35.84
The present value of the income is 2e-0.1×1+2e-0.1×2= $3.447. The three year forward price is
obtained by subtracting the present value of the income from the current stock price and then
grossing up the result for three years at the risk-free rate. It is (30−3.447)e0.1×3 = $35.84.
2|Page
Department of Finance and Investment|
Derivatives Practice Examination-2026
Determination Of Forward and Futures Prices
Academic Year: 2025/2026
1. Which of the following is a consumption asset?
A. The S&P 500 index
B. The Canadian dollar
C. Copper
D. IBM stock
C. Copper
A, B, and D are investment assets (held by at least some investors purely for investment
purposes). C is a consumption asset.
2. An investor shorts 100 shares when the share price is $50 and closes out the position six
months later when the share price is $43. The shares pay a dividend of $3 per share during the
six months. How much does the investor gain?
A. $1,000
B. $400
C. $700
D. $300
B. $400
1|Page
, The investor gains $7 per share because he or she sells at $50 and buys at $43. However, the
investor has to pay the $3 per share dividend. The net profit is therefore 7−3 or $4 per share.
100 shares are involved. The total gain is therefore $400.
3. The spot price of an investment asset that provides no income is $30 and the risk-free rate for
all maturities (with continuous compounding) is 10%. What is the three-year forward price?
A. $40.50
B. $22.22
C. $33.00
D. $33.16
A. $40.50
The 3-year forward price is the spot price grossed up for 3 years at the risk-free rate. It is
30e0.1×3 =$40.50.
4. The spot price of an investment asset is $30 and the risk-free rate for all maturities is 10%
with continuous compounding. The asset provides an income of $2 at the end of the first year
and at the end of the second year. What is the three-year forward price?
A. $19.67
B. $35.84
C. $45.15
D. $40.50
B. $35.84
The present value of the income is 2e-0.1×1+2e-0.1×2= $3.447. The three year forward price is
obtained by subtracting the present value of the income from the current stock price and then
grossing up the result for three years at the risk-free rate. It is (30−3.447)e0.1×3 = $35.84.
2|Page
