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Equity Index Forward Given: So = Current Index = $12,000 Dividend Yield = 3% Rf = 6% Maturity = 90 days (a) No arbitrage price?

Equity Index Forward

Given:

So = Current Index = $12,000

Dividend Yield = 3%

Rf = 6%

Maturity = 90 days

(a) No arbitrage price?

(b) Value to the long in 30 days if index = 13,500

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