Question
Consider a single-stock futures contract on Exxon-Mobil stock. Consider the following scenario: Annualized, continuously compounded risk-free interest rate for 3-month period: r = 1.47%. Annualized,
Consider a single-stock futures contract on Exxon-Mobil stock. Consider the following scenario:
Annualized, continuously compounded risk-free interest rate for 3-month period: r = 1.47%.
Annualized, continuously compounded risk-free interest rate for 5-month period: r = 5.68%.
Current spot price of Exxon Mobil stock: $156 per share.
Dividend per share of $0.66 in 3 months.
Contract expiration: T = 5 months.
Futures price on Exxon Mobil single-stock futures: $150 per share.
An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today.
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A Full Guide To Bitcoin Investment
Authors: J.b. Yupangco
1st Edition
8389911302, 978-8389911308
