An investment bank engages in stock index arbitrage for its own and customer accounts.On a particular day,

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An investment bank engages in stock index arbitrage for its own and customer accounts.On a particular day, the S&P index at the NY stock exchange is 602.25 when the futures contract for delivery in 90 days is 614.75.If the annualized 90 day interest rate is 8% and the annualized dividend yield is 3 percent, would program trading involving stock index arbitrage take place?If so, describe the transactions that should be undertaken?

Posted Date: May 18, 2024 03:10 AM

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An investment bank engages in stock index arbitrage for its own and customer accounts.On a particular day,

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