Futures Pricing Calculation Challenge

Consider a trader who has entered into a futures contract for a non-dividend-paying stock with a current price of $100. The futures contract has a delivery date in six months. The risk-free rate is 5% per annum, compounded continuously. Assuming no transaction costs or taxes, what will be the futures price at the delivery date?

Use the formula for pricing futures contracts based on the cost of carry model, which is given by:

F = S * e^(rT)

Where:

• F = futures price
• S = current stock price
• r = risk-free interest rate
• T = time to maturity in years