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A stock index currently stands at 350. The risk-free interest rate is 8% per annum (with continuous compounding) and the dividend yield on the index

A stock index currently stands at 350. The risk-free interest rate is 8% per annum (with continuous compounding) and the dividend yield on the index is 4% per annum.

A. What should the futures price for a four-month contract be?

B. The current four-month futures price of the index is 357. Is there an arbitrage opportunity? If yes, how should one arbitrage?

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