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It is March 2021, assume you can borrow at the risk-free rate at 0.1% p.a. continuously compounded, and the S&P/ASX 200 is trading at 6800

It is March 2021, assume you can borrow at the risk-free rate at 0.1% p.a. continuously compounded, and the S&P/ASX 200 is trading at 6800 points, the dividend yield is 4% p.a. continuously compounded. Suppose the September ASX SPI 200 contract is trading at 6650 points. Is there an opportunity to make a riskless profit? Clearly explain your reasoning. And explain how this opportunity might be set up in general and how does this potentially impact on prices

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To determine if there is an opportunity to make a riskless profit we need to compare the price of the September ASX SPI 200 contract to its theoretical fair value based on the riskfree rate dividends ... blur-text-image

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