The risk-free rate of interest for borrowing is 4.8% per annum with continuous compounding, and the corresponding risk-free rate for lending is 1% per annum lower. The dividend yield is 1.6% per annum. The current value of a stock index is 4,899 . There are no other transactions costs involved in arbitrage. What is the lowest six-month futures price that will preclude arbitrage? 4,953.2 margin of error +/0.2 The lower limit depends on the transaction costs involved in arbitraging under-priced forward contracts