The risk-free interest rate is 5% per year and the dividend yield on the SP500 index is
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Question:
The risk-free interest rate is 5% per year and the dividend yield on the SP500 index is 2% per year. This index is currently 1000.00 and the futures price for the contract maturing in 4 months is 1012. Assuming perfect capital markets, what arbitrage, if any, does this create?
The arbitrage is to short futures and buy shares underlying the index | ||
The arbitrage is to short futures and short shares underlying the index | ||
The arbitrage is to buy futures and short shares underlying the index | ||
There is no arbitrage opportunity |
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