A trader enters a long $6-$month futures contract on a stock that will be paying a dividend of $$4$

in $3-$months' time. The stock price at $t=0$ is $$80$ and the simple interest rate is $6\%$ per annum.

What is the futures price?

a$.79\mathrm{.}54$

b$.80\mathrm{.}21$

c$.78\mathrm{.}36$

d$.78\mathrm{.}90$

e$.$ None of the above

If the quoted market price of the futures is $F_g=$$$79$ as opposed to the one you calculated in the

previous question, $($i$)$ how much would you need to borrow at $t=0$ to construct an arbitrage

strategy to exploit the mispricing and $($ii$)$ what would your profit be at maturity?

a$.($i$)$ $$80\mathrm{.}00,($ii$)$ $$0\mathrm{.}66$

b$.($i$)$ $$80\mathrm{.}00,($ii$)$ $$0\mathrm{.}67$

c$.($i$)$ $$76\mathrm{.}06,($ii$)$ $$0\mathrm{.}64$

d$.($i$)$ $$3\mathrm{.}94,($ii$)$ $$0\mathrm{.}67$

e$.$ None of the above