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A stock index futures contract was at 497.85. The index was at 492.54, the risk-free rate was 2.85 percent, the dividend yield was 2 percent,
A stock index futures contract was at 497.85. The index was at 492.54, the risk-free rate was 2.85 percent, the dividend yield was 2 percent, and the contract expires in 60 days. Determine whether an arbitrage opportunity was available and explain what transactions were executed.
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