Using the following information, calculate the arbitrage opportunity (if any) and, if there is an arbitrage opportunity,
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Question:
Using the following information, calculate the arbitrage opportunity (if any) and, if there is an arbitrage opportunity, the required trades to capture the opportunity.
Cash price (index points) 4,250.00
Futures price 4,225.00
Interest rate 2.25%
Dividend yield 4.50%
Delivery date (years) 1.0
Related Book For
Financial Reporting and Analysis
ISBN: 978-0078025679
6th edition
Authors: Flawrence Revsine, Daniel Collins, Bruce, Mittelstaedt, Leon
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