Determination of futures pricessuppose that today sampp 500, Ask an Expert

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Determination of Futures Prices

Suppose that today, S&P 500 index stood at 2,550 and the December 2017 Index Future was 2,560. The annual average dividend yield on all component securities in the index is 6%. If there are 63 days remaining till maturity and the interest rate is 1.75%, what is your index arbitrage strategy?

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M92704361

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