Today is March 31. a futures contract on the S&P 500 maturing at the end of June

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Today is March 31. a futures contract on the S&P 500 maturing at the end of June has settled at 3,250 today. the underlying index value is 3,300 now. the three-month dividend yield on the index is 4.5%. assume the dividend to be paid as a lump sum at the end of June. the relevant discount factor is 0.997. calculate arbitrage profit

Posted Date: May 09, 2024 02:53 AM

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Today is March 31. a futures contract on the S&P 500 maturing at the end of June

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To calculate the arbitrage profit we need to find the fair value of the f... View the full answer

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