Question: The correct answer is 2,779.9. Please show and explain the steps to arrive at the answer. thank you. The risk-free rate of interest for borrowing

The correct answer is 2,779.9. Please show and explain the steps

The correct answer is 2,779.9. Please show and explain the steps to arrive at the answer. thank you.

The risk-free rate of interest for borrowing is 3.1% per annum with continuous compounding, and the corresponding risk-free rate for lending is 1% per annum lower. The dividend yield is 1.1% per annum. The current value of a stock index is 2,766 . There are no other transactions costs involved in arbitrage. What is the lowest six-month futures price that will preclude arbitrage

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