6. Forward and Futures Prices (16 points) Suppose the S&R index is 800, and that the dividend yield is 0. You are an arbitrageur with a continuously compounded borrowing rate of 5.5% and a continuously compounded lending rate of 5%. Supposing that there are no transaction fees, show that a cash-and-carry arbitrage is not profitable if the 1-year forward price is less than 845.23, and that a reverse cash-and-carry arbitrage is not profitable if the 1-year forward price is greater than 841.02