Page 8 20.A stock index currently stands at 350. The risk-free interest rate is 5% per annum and the dividend yield on the index is 2% per annum. The no- arbitrage futures price for a future with a maturity of 4 months is closest to: (a) 353.5 (b)357.9 (c) 360.5 (d) 374.5 Consider a call and a put option, both with a strike price of 50, written on an underlying currently trading at 50. The call is currently worth 5, the put 4. Which position might cause a loss of more than 50? (a) Call long (b) Call short (c) Put long (d) Put short