Explain what transactions were executed

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Reference no: EM131971185

On July 5, a stock index futures contract was at 394.85. The index was at 392.54, the continuously compounded risk- free rate was 2.83%, the dividend yield was 2.08%, and the contract expired on September 20.

Determine if an arbitrage opportunity was available, and explain what transactions were executed.

Hint, start by calculating the theoretical futures price

Theoretical futures price?

Arbitrage strategy

Reference no: EM131971185

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