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Imagine that the S&P500 is currently trading at $3,700. Over the next two years the S&P500 will pay a constant dividend yield of 2%. Suppose

Imagine that the S&P500 is currently trading at $3,700. Over the next two years the S&P500 will pay a constant dividend yield of 2%.

Suppose that a zero coupon bond with one year to maturity and face value of $100 is currently trading at $96. What should be the price of a one-year futures contract on the S&P500?

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