Question
The S&P500 index spot price is 1100, the risk-free rate is 5%, and the continuous dividend yield on the index is 0%. Suppose you observe
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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 0%. Suppose you observe a 6-month futures price of 1125. What arbitrage would you undertake?
buy index and buy futures
buy index and sell futures
sell index and sell futures
sell index and buy futures
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Industrializing Financial Services With DevOps
Authors: Spyridon Maniotis
1st Edition
1804614343, 978-1804614341
