Answered

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Suppose that you purchase 1 share of XYZ stock $2,600 at the beginning of the year and that it pays $50 in dividends during the year. At the same time, you sell a futures contract short for the 1 share XYZ stock at a price of $2,700 with maturity 1 year. Suppose further that the risk free rate is 2% and the dividend yield is 1.92%.

Is there an arbitrage opportunity, and if so what is the arbitrage profit?


a. No arbitrage opportunity

b. Yes, arbitrage profit is $97.48

c. Yes, arbitrage profit is $150.00

d. Yes, arbitrage profit is $20.82

Sagot :

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