y=4

Question 4, round your answer to two decimal places (15 marks) a. Suppose that Hang Seng Index pays a dividend yield of 3% annually. The index currently is (26,000 + 100 x Y). The risk-free rate is 2%, and the Hang Seng Index futures price for delivery in six-month is 26,300. Construct an arbitrage strategy to exploit the mispricing and show your profits. (6 marks) b. A leverage (2.5x) accumulator on Stock X, 40 days guaranteed, (90% - Yx 1%) Strike Price, 106% KO Price, number of shares per day = 20 shares, number of Exchange Business Days = 200. Assume that spot price is $600. 16th 80th day A2 $450 1st 15th day $6004 $6002 $600- 81st 160th day 161st 200th dayet $520 $5804 $550 $400 $500- $6204 $6504 $380 Suppose that investor holds any stocks purchased from the accumulator, how much does he make in each scenario (i.e., total shares purchased x (Ending stock price strike price))? (9 marks) Question 4, round your answer to two decimal places (15 marks) a. Suppose that Hang Seng Index pays a dividend yield of 3% annually. The index currently is (26,000 + 100 x Y). The risk-free rate is 2%, and the Hang Seng Index futures price for delivery in six-month is 26,300. Construct an arbitrage strategy to exploit the mispricing and show your profits. (6 marks) b. A leverage (2.5x) accumulator on Stock X, 40 days guaranteed, (90% - Yx 1%) Strike Price, 106% KO Price, number of shares per day = 20 shares, number of Exchange Business Days = 200. Assume that spot price is $600. 16th 80th day A2 $450 1st 15th day $6004 $6002 $600- 81st 160th day 161st 200th dayet $520 $5804 $550 $400 $500- $6204 $6504 $380 Suppose that investor holds any stocks purchased from the accumulator, how much does he make in each scenario (i.e., total shares purchased x (Ending stock price strike price))? (9 marks)