Question
The S&R index spot price is 1100, the continuously compounding risk-free rate is 5%, and the continuous dividend yield on the index is 2%. (a)
The S&R index spot price is 1100, the continuously compounding risk-free rate is 5%, and the continuous dividend yield on the index is 2%.
(a) Suppose you observe a 6-month forward price of 1120. What arbitrage would you undertake? (b) Suppose you observe a 6-month forward price of 1110. What arbitrage would you undertake?
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Real Estate Finance
Authors: John P. Wiedemer
8th Edition
0324142900, 9780324142907
