What is the profit on your arbitrage strategy

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Reference no: EM132021985

Assume that the GAMA Index spot price is at 12,000, the risk-free rate is 3%, and the continuous dividend yield on the index is 0%. Suppose you observe a 18-month forward price of 14,000

a) What arbitrage would you undertake?

b) What is the profit on your arbitrage strategy?

Reference no: EM132021985

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