Question
FUTURES PARITY: The Eurostoxx index is currently at 3,700 and the 1-year govt rate is 0.5% and the dividend yield is 2%. a. Please calculate,
FUTURES PARITY: The Eurostoxx index is currently at 3,700 and the 1-year govt rate is 0.5% and the dividend yield is 2%.
a. Please calculate, what should the Eurostoxx index 1-year future price be today
b. If the current price of the future of the Eurostoxx is 3,677 can you think of a possible arbitrage?
If so explicitly explain the arbitrage at time 0, time 1 and profit achieved. The contract multiplier for Eurostoxx 50 is 10 euros.
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Intermediate Accounting
Authors: J. David Spiceland, James Sepe, Mark Nelson
6th edition
978-0077400163
