The spot price of JSE All Share price Index is R$1400$ and the continuously compounded

risk$-$free interest rate is $6\%$ per annum. You observe a $12-$month forward price

of R$1000.$

a$)$ What dividend yield is implied by this forward price? $[2]$

b$)$ Suppose you believe the dividend yield will be $0\mathrm{.}5\%$ the next $12$ months. What

arbitrage opportunity would you undertake? $[2]$

c$)$ Suppose the dividend yield will be $3\%$ over the next $12$ months. What arbitrage

opportunity would you undertake $?$