Is there a theoretical way of pricing Index Future?
The theoretical way of pricing any Future is to factor in the current price and holding costs or cost of carry In general, the Futures Price = Spot Price + Cost of Carry Cost of carry is the sum of all costs incurred if a similar position is taken in cash market and carried to maturity of the futures contract less any revenue which may result in this period. The costs typically include interest in case of financial futures (also insurance and storage costs in case of commodity futures). The revenue may be dividends in case of index futures. Apart from the theoretical value, the actual value may vary depending on demand and supply of the underlying at present and expectations about the future. These factors play a much more important role in commodities, specially perishable commodities than in financial futures. In general, the Futures price is greater than the spot price. In special cases, when cost of carry is negative, the Futures price may be lower than Spot prices.
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