23. Futures Arbitrage (LO3, CFA4) A stock is currently priced at $53.87 and the futures on the...

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23. Futures Arbitrage (LO3, CFA4) A stock is currently priced at $53.87 and the futures on the stock that expire in six months have a price of $55.94. The risk-free rate is 5 percent and the stock is not expected to pay a dividend. Is there an arbitrage opportunity here? How would you exploit it? What is the arbitrage opportunity per share of stock?

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Fundamentals Of Investments Valuation And Management

ISBN: 9781260013979

9th Edition

Authors: Bradford Jordan, Thomas Miller, Steve Dolvin

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