The spot SP500 index is 300. The futures contract on this index which expires in...
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The spot SP500 index is 300. The futures contract on this index which expires in one year is 310. The risk-free rate over this period is 5%. The dividend yield over this period is 3%. There is an arbitrage. How would you initiate this arbitrage?
short futures, long stock, borrow money
long futures, long stock, borrow money
long futures, short stock, lend money
short futures, long stock, lend money
short futures, short stock, lend money
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