Question
A riskless stock index arbitrage profit is possible if the following condition holds: F 0,T = S 0 (1 + r f - d) T
A riskless stock index arbitrage profit is possible if the following condition holds: F0,T = S0(1 + rf - d)T, where spot price now is S0, value now of a futures contract expiring at time T is (F0,T), rf is the risk free rate, and d is the dividend.
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ISE Foundations Of Financial Management
Authors: Stanley B. Block, Geoffrey A. Hirt, Bartley Danielsen
18th International Edition
1265074658, 9781265074654
