You have the following market data. The S&P 500 market index currently is 91.96. The annualized, continuously
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You have the following market data.
- The S&P 500 market index currently is 91.96.
- The annualized, continuously compounded dividend yield on this index is 2.78%.
- The futures contract on this index has an index multiplier of 100.
- The annualized, continuously compounded risk-free rate is 3.05%.
- The index futures contract that expires in 5 months has a futures price of 86.42.
What is the total net profit if you execute the arbitrage strategy with one futures contract?
Related Book For
Financial Reporting Financial Statement Analysis and Valuation a strategic perspective
ISBN: 978-1337614689
9th edition
Authors: James M. Wahlen, Stephen P. Baginski, Mark Bradshaw
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