Question
The 3-month SIF is quoted at 696.70. The FBM KLCI is currently at 680 points. Suppose the rf rate is 4% per year and the
The 3-month SIF is quoted at 696.70. The FBM KLCI is currently at 680 points. Suppose the rf rate is 4% per year and the dividend yield = 0%
a. Proof that there is mispricing.
b. Outline the arbitrage strategy and show the arbitrage profit if the FBM KLCI is at 710 points at contract maturity.(
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College Physics
Authors: Raymond A. Serway, Jerry S. Faughn, Chris Vuille, Charles A. Bennett
7th Edition
978-0495113690
