Question
The S&R index spot price is 1100, the risk-free rate is 5% (continuously compounded), and the dividend yield on the index is 0. (a) Suppose
The S&R index spot price is 1100, the risk-free rate is 5% (continuously compounded), and the
dividend yield on the index is 0.
(a) Suppose you observe a 6-month futures price of 1135. What arbitrage would you
undertake? Please use the table of cash ow to analyze.
(b) Suppose you observe a 6-month futures price of 1115. What arbitrage would you
undertake? Please use the table of cash ow to analyze.
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Applied Equity Analysis and Portfolio Management Tools to Analyze and Manage Your Stock Portfolio
Authors: Robert A.Weigand
1st edition
978-111863091, 1118630912, 978-1118630914
