Why in all the examples are they not taking into account the dividend yield in calculating the futures price of the underlying index? ie: index futures price = index value * rfr - div yield
bump
I am pretty sure it should be P(F_T)=P(S)*(1+rfr-divyield)^T or P(S)*exp[(rfr-divyield)*T] depending on whether you are using continuous or discrete time. The relationship is based on the law of one price. Two assets that provide identical cash flows, should have the same price. Does that help?