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Consider a forward contract to deliver one unit of stock of ABC corporation. The maturity is 1 year from now, and the forward price at
Consider a forward contract to deliver one unit of stock of ABC
corporation. The maturity is 1 year from now, and the forward price at the current
date (date 0) is F 0 =100. The stock price is 110 and the riskless interest rate is
2.5% per 6-month period. Is there an arbitrage opportunity? If there is an arbitrage,
what would be your arbitrage strategy?
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The Little Book Of Market Myths: How To Profit By Avoiding The Investing Mistakes Everyone Else Makes
Authors: Kenneth L. Fisher
1st Edition
1118445015, 978-1118445013
