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Given the following information, could you find any arbitrage opportunities in ABC stock? If so, what is your arbitrage procedure and profits? (Assume all the
Given the following information, could you find any arbitrage opportunities in ABC stock? If so, what is your arbitrage procedure and profits? (Assume all the interest rates are periodically compounded.)
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6-month ABC futures: $398.10 $399.50
ABC stock price: $392.65 $393.35
3-month T-bill rate: 4.00% 5.00%
6-month T-bill rate: 5.00% 5.00%
Dividend in 3 months later: $3
Dividend in 6 months later: $4
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