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Marking a seasoned forward

MediumFinance & Derivatives~4m

Six months ago you went long a 1-year forward on a non-dividend stock, struck at $100. Today, with 6 months left to delivery, the stock trades at $104 (spot) and the rate is 5%5\% (continuous). What is your position worth today, in dollars to two decimals?

Show hints (2)+
  1. Build the current forward from spot: Ft=SerτF_t=Se^{r\tau} with τ=0.5\tau=0.5.
  2. Value =(Ft−K)e−rτ=S−Ke−rτ=(F_t-K)e^{-r\tau}=S-Ke^{-r\tau}.

Answer

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6.47 (± 0.03)

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