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Today's stock index is at 3500. The index provides a dividend yield of 1.2% p.a., continuously compounded. Risk free rate is at 1.8% p.a.. Consider

Today's stock index is at 3500. The index provides a dividend yield of 1.2% p.a., continuously compounded. Risk free rate is at 1.8% p.a.. Consider a 6 month forward contract on the index. Suppose in 3 months the index will be at 3000, What will be the value of the short position in the forward contract? (Write the formula of short position in forward contract and calculate the value in detail.)

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