A stock index has a dividend yield of 2%, the risk free rate is 4% and the 6-month futures contract on the index is priced at $100 (assume it is the equilibrium price).

a) What would be the equilibrium price of a 1-year futures contract on the index?

b) There is a call option on the 6-futures priced at $6 and a put priced at $3, both with a strike price of $95. Is there an arbitrage opportunity? How much is it and how can you earn it? Show on a table the transactions & cash flows at time 0 and time T