Assume that the actual dividend yield is 4.0% for the S&P 500 index. i) Calculate the theoretical

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Assume that the actual dividend yield is 4.0% for the S&P 500 index. i) Calculate the theoretical equilibrium futures price for the June 2020 E-mini S&P 500 stock index futures contract. ii) What is the amount of mispricing (that is, what is the difference between the actual reported and theoretical futures price)? iii) Show in detail the necessary steps to conduct the arbitrage.

Posted Date: May 11, 2024 02:15 AM

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Assume that the actual dividend yield is 4.0% for the S&P 500 index. i) Calculate the theoretical

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