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Suppose the stock index spot price is 1800 and the continuous dividend yield on thei ndex is 2%. Assume that it is possible to lend

Suppose the stock index spot price is 1800 and the continuous dividend yield on thei ndex is 2%. Assume that it is possible to lend at 4% and borrow at 7%, continuously compounded.

a)Above what futures price is there arbitrage?

b)Below what futures price is there arbitrage?

Consider time to maturity of 6months

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