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The S&P500 index spot price is 1100, the risk-free rate is 5%, and the continuous dividend yield on the index is 2%. Suppose you observe
The S&P500 index spot price is 1100, the risk-free rate is 5%, and the continuous dividend yield on the index is 2%. Suppose you observe a 6-month futures price of 1120. What arbitrage would you undertake?
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Basic Finance An Introduction To Financial Institutions, Investments, And Management
Authors: Herbert B. Mayo
12th Edition
1337691011, 978-1337691017
