The S&P index spot price is 1100, the risk-free rate is 5%, and the continuous dividend yield on the index is 2%:
A) Suppose you observe a 6-month forward price of 1120. What arbitrage would you undertake?
B) Suppose you observe a 6-month forward price of 1110. What arbitrage would you undertake?
I would be happy to post the answer. When and if I find out. Thanks for your hard work!
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10-22-2008, 06:04 PM #1Senior Member
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Help with Financial forwards and Futures?
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