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The S&P 500 Index is currently traded at $2400. The continuous annual dividend yield is 2.0% and the continuously compounded annual interest rate is 4%,
The S&P 500 Index is currently traded at $2400. The continuous annual dividend yield is 2.0% and the continuously compounded annual interest rate is 4%, if the 1-year forward price is $2450, you can establish your arbitrage portfolio: short a forward, long__unit of S&P 500 index, borrow to make you portfolio self-financed. 0.9231 0.9449 0.9608 0.9802
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