Question
You have been provided with information on a ABC's futures contract. You have been provided with the current share price, risk-free rate, futures price and
You have been provided with information on a ABC's futures contract. You have been provided with the current share price, risk-free rate, futures price and maturity in the table below. Using futures parity, how can you take advantage (via arbitrage) of the mispricing.
Share Price R135.63
Risk Free Rate 6.08%
Maturity 9 months
Futures Price R139.34
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International financial management
Authors: Jeff Madura
13th edition
978-1337099738, 1337099732, 9781337515894, 1337515892, 978-1337587211
