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Suppose that the risk - free interest rate is 4 % per annum with continuous compounding and that the dividend yield on a stock index
Suppose that the riskfree interest rate is per annum with continuous compounding and that the dividend yield on a stock index is per annum. The index is standing at and the futures price for a contract deliverable in six months is What arbitrage opportunities does this create? Show the details of the arbitrage strategy and profit.
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