Question: 14.9. [Introductory Derivatives Sample Question 52) The ask price for a share of ABC company is 100.50 and the bid price is 100. Suppose an

14.9. [Introductory Derivatives Sample Question 52) The ask price for a share of ABC company is 100.50 and the bid price is 100. Suppose an investor can borrow at an annual effective rate of 3.05% and lend (i.e., save) at an annual effective rate of 3%. Assume there are no transaction costs and no dividends. Determine which of the following strategies does not create an arbitrage opportunity. (A) Short sell one share, and enter into a long one-year forward contract on one share with a forward price of 102.50 (B) Short sell one share, and enter into a long one-year forward contract on one share with a forward price of 102.75. () Short sell one share, and enter into a long one-year forward contract on one share with a forward price of 103.00. (D) Purchase one share with borrowed money, and enter into a short one-year forward contract on one share with a forward price of 103.60. (E) Purchase one share with borrowed money, and enter into a short one-year forward contract on one share with a forward price of 103.75. 14.10. [Introductory Derivatives Sample Question 37] A one-year forward contract on a stock has a price of $75. The stock is expected to pay a dividend of $1.50 at two future times, six months from now and one year from now, and the annual effective risk-free interest rate is 6%. Calculate the current stock price. (A) 70.75 (B) 73.63 (C) 75.81 (D) 77.87 (E) 78.04

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