USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The S&P 500 stock index is at 1300. The annualized interest rate is 4.0 percent, and the annualized dividend is 2 percent. You are currently considering purchasing a two-month futures contract for your portfolio.
-Refer to Exhibit 15.12. If the futures contract was currently available for 1350, calculate the arbitrage profit.
A) $8.33
B) $28.45
C) $45.67
D) $50.00
E) $54.33

Question

Quizplus · Accepted Answer

The Answer of USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)
The S&P 500 stock index is at 1300. The annualized interest rate is 4.0 percent, and the annualized dividend is 2 percent. You are currently considering purchasing a two-month futures contract for your portfolio.
-Refer to Exhibit 15.12. If the futures contract was currently available for 1350, calculate the arbitrage profit.
A) $8.33
B) $28.45
C) $45.67
D) $50.00
E) $54.33