Given the information below, explain how index arbitrage is possible? Index = 1150 Index futures = 1150
Question:
Given the information below, explain how index arbitrage is possible?
Index = 1150
Index futures = 1150
Risk-free rate = 0.5%
Days to expiration = 30
Dividends = 2% annualized
Assume at expiration the index is unchanged.
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Based on the information provided index arbitrage is not possible in this scenario Heres why No Misp...View the full answer
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Related Book For
The Theory And Practice Of Investment Management
ISBN: 9780470929902
2nd Edition
Authors: Frank J Fabozzi, Harry M Markowitz
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