Question
a) A 15-month futures contract on an equity index is currently trading at USD 3,759.52. The underlying index is currently valued at USD 3,625
a) A 15-month futures contract on an equity index is currently trading at USD 3,759.52. The underlying index is currently valued at USD 3,625 and has a continuously-compounded dividend yield of 2% per year. The continuously compounded risk-free rate is 5% per year. Assuming no transactions costs, what is the potential arbitrage profit per contract and the appropriate strategy?
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College Physics
Authors: Raymond A. Serway, Jerry S. Faughn, Chris Vuille, Charles A. Bennett
7th Edition
9780534997236, 495113697, 534997236, 978-0495113690
