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Suppose the risk-free interest rate is 2% per annum with continuous compounding and that the dividend yield on a stock index is 0.5% per annum.

Suppose the risk-free interest rate is 2% per annum with continuous compounding and that the dividend yield on a stock index is 0.5% per annum. The index is standing at 2600. What should be the 9-month futures price under no-arbitrage conditions?

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