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The risk-free rate of interest for borrowing is 4.7% per annum with continuous compounding, and the corresponding risk-free rate for lending is 1% per annum

The risk-free rate of interest for borrowing is 4.7% per annum with continuous compounding, and the corresponding risk-free rate for lending is 1% per annum lower. The dividend yield is 1% per annum. The current value of a stock index is 4,979. There are no other transactions costs involved in arbitrage. What is the lowest six-month futures price that will preclude arbitrage?

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