Adequate information: Current S&P 500 index price = $2,000 S&P Future Price = $2,030 T-bill or Risk-free rate = 3% Dividend yield = 2% To construct: Construct an arbitrage strategy to exploit mispricing. Introduction: Arbitrage strategy is an investment strategy where traders take advantage of mispricing due to price differentials in contracts at a particular time to book gain in the market without any risk considerations.

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lab.infoseclearning.com/console/5061763/3047 310-win10 Project Three Milestone - GNS3 File Edit View Control Node Annotate Tools Help e 41 Sales_PC1 0000 Sales_PC2 Sales_PC3 Enforce US Keyboard Layout View Fullscreen Send Ctrl+Alt+Delete Reboot To exit full screen, press and hold esc ■C00/6@ Q Sales_Switch Human Resources_Switch Office_Router Sales PC4 Customer_Service_Switch X: -299.0 Y: -136.0 Z: 1.0 H Type here to search CS_FTP_Server HR_PC2 HR_PC1 7:19 PM 12/14/2024 B

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Chapter 17, Problem 15PS

Summary Introduction

Adequate information:

Current S&P 500 index price = $2,000

S&P Future Price = $2,030

T-bill or Risk-free rate = 3%

Dividend yield = 2%

To construct:

Construct an arbitrage strategy to exploit mispricing.

Introduction:

Arbitrage strategy is an investment strategy where traders take advantage of mispricing due to price differentials in contracts at a particular time to book gain in the market without any risk considerations.

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lab.infoseclearning.com/console/5061763/3047 310-win10 Project Three Milestone - GNS3 File Edit View Control Node Annotate Tools Help e 41 Sales_PC1 0000 Sales_PC2 Sales_PC3 Enforce US Keyboard Layout View Fullscreen Send Ctrl+Alt+Delete Reboot To exit full screen, press and hold esc ■C00/6@ Q Sales_Switch Human Resources_Switch Office_Router Sales PC4 Customer_Service_Switch X: -299.0 Y: -136.0 Z: 1.0 H Type here to search CS_FTP_Server HR_PC2 HR_PC1 7:19 PM 12/14/2024 B

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