- 5.11. Assume that the risk-free interest rate is 9% per annum with continuous compounding and that the dividend yield on a stock index varies throughout the year. In February, May, August, and November, dividends are paid at a rate of 5% per annum. In other months, dividends are paid at a rate of 2% per annum. Suppose the value of the index on July 31 is 1,300 . What is the futures price for a contract deliverable on December 31 of the same year? - 5.12. Suppose that the risk-free interest rate is per annum with continuous compounding and that the dividend yield on a stock index is per annum. The index is standing at 400 , and the futures price for a contract deliverable in four months is 405 . What arbitrage opportunities does this create