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Consider a 6-month futures contract on the S&P 500 index. If the current value of the index is 1,000, and the dividend yield is 3
Consider a 6-month futures contract on the S&P 500 index. If the current value of the index is 1,000, and the dividend yield is 3 percent per year continuously compounded. What would the risk-free rate of interest have to be to eliminate the arbitrage opportunity when the S&P 500 index futures price is $995.01?
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