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Suppose that an Intel single-stock futures contract expires in four months. The stock pays a dividend in two months. We have the following information. Annualized,
Suppose that an Intel single-stock futures contract expires in four months. The stock pays a dividend in two months. We have the following information.
- Annualized, continuously compounded risk-free interest rate for 2-month period: r = 3.71%.
- Annualized, continuously compounded risk-free interest rate for 4-month period: r = 6.51%.
- Current spot price of Intel stock: $31 per share.
- Dividend per share of $0.3 in two months.
What must the futures price equal in order than no arbitrage opportunity exist?
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