Consider a XYZ stock index spot price is 69 and 7 months forward price is 70 The continuously compounded dividend yield and risk free interest rate are 3 and 5 respectively Market maker could take arbitrage opportunity by (long short) forward contract and (long short) synthetic forward contract wh...

Table 1 Spot price 2 Time 3 Forward price 4 Dividend rate 5 ...

Consider a XYZ stock index spot price is 69 and 7-months forward price is 70. The...

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Consider a XYZ stock index spot price is 69 and 7-months forward price is 70. The...

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Derivatives Markets

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