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Assume that the 6 - month futures contract on SPX settled at 4 0 4 7 , r = 3 . 7 5 % ,
Assume that the month futures contract on SPX settled at r
q arbitrage transactions costs TC are index points. The TC band is The Fair Value of the Futures contract is
a
b
c
d
e If none of the above, provide your solution
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