Assume it is now 1 January 2021 and the FBM KLCI is at 1600. The risk-free rate

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Assume it is now 1 January 2021 and the FBM KLCI is at 1600. The risk-free rate is 2% p.a.. The weighted average dividend yield of the FBM KLCI is 2.3% p.a. Calculate the fair value of the June 2021 (180 days to maturity) FBM KLCI futures contract. Is there any arbitrage opportunity?

Posted Date: Oct 07, 2021 08:50 AM

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Assume it is now 1 January 2021 and the FBM KLCI is at 1600. The risk-free rate

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Fair Value of June 2021 1600erqt 1600e223180360 1... View the full answer

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