Assume that the current level of the S&P 500 index is 1,300 and the dividend yield of
Fantastic news! We've Found the answer you've been seeking!
Question:
Assume that the current level of the S&P 500 index is 1,300 and the dividend yield of the index is about 1.2% per year. The annual continuously compounded risk-free rate of interest is about 4% per year. Currently the December S&P 500 stock index futures price is 1,310.50. Assuming a remaining maturity of exactly five months.
Is there an arbitrage opportunity? If there is, use an arbitrage table to illustrate the transactions and the payoffs now and in five months.
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
Posted Date: