FRM一级《金融市场与金融产品》考前冲刺:Futures contract

1.A stock index is valued at USD 750 and pays a continuous dividend at the rate of 2%per annum.The 6-month futures contract on that index is trading at USD 757.The risk-free rate is 3.50%continuously compounded.There are no transaction costs or taxes.
 
Is the futures contract priced so that there is an arbitrage opportunity?If yes,which of the following numbers comes closest to the arbitrage profit you could realize by taking a position in one futures contract?
 
A.4.18
 
B.1.35
 
C.12.60
 
D.There is no arbitrage opportunity.
 
Answer:B
FRM考试科目《金融市场与金融产品》
 
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