The current stock price is 80. A dividend of 2 will be paid 6 months from now.

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The current stock price is 80. A dividend of 2 will be paid 6 months from now. The continuously compounded risk-free interest rate is 6%.

If you observe a 1-year forward price of 82, describe actions you could take as an arbitrageur, and calculate the resulting arbitrage profit (per stock unit).

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Derivative Pricing

ISBN: 9780367734213

1st Edition

Authors: Ambrose Lo

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Question Posted: Nov 22, 2023 08:17 AM

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The current stock price is 80. A dividend of 2 will be paid 6 months from now.

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Derivative Pricing

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