Suppose the CAC-40 Index (a widely followed index of French stock prices) is currently at 4,920, the

Question:

Suppose the CAC-40 Index (a widely followed index of French stock prices) is currently at 4,920, the expected dividend yield on the index is 2 percent per year, and the risk-free rate in France is 6 percent annually. If CAC-40 futures contracts that expire in six months are currently trading at 4,952, what program trading strategy would you recommend?

Dividend
A dividend is a distribution of a portion of company’s earnings, decided and managed by the company’s board of directors, and paid to the shareholders. Dividends are given on the shares. It is a token reward paid to the shareholders for their...