Question
Consider a single-stock futures contract on Exxon-Mobil stock. Suppose that the contract expires before Exxon Mobils next cash dividend. Consider the following scenario: Continuously compounded,
Consider a single-stock futures contract on Exxon-Mobil stock. Suppose that the contract expires before Exxon Mobils next cash dividend. Consider the following scenario: Continuously compounded, annualized risk-free interest rate: r = 3.22% Current spot price of Exxon Mobil stock: $101.19 per share. Contract expiration: T = 4 months. Futures price on Exxon Mobil single-stock futures: $100 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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