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3. Forward and Futures Prices You observe the following data on March 15: XYZ Index September...

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3. Forward and Futures Prices You observe the following data on March 15: XYZ Index September 15 XYZ Index forward price Cont
3. Forward and Futures Prices You observe the following data on March 15: XYZ Index September 15 XYZ Index forward price Continuously compounding risk-free rate $125 $123 7% A. (12 points) Construct a replicating portfolio of the XYZ Index forward using XYZ Index stocks and risk-free bonds. What is the forward price? How much do you have to pay to enter the forward contract? Is there an arbitrage opportunity? How can you take advantage of it if there is one? B. (6 points) Notice that the XYZ Index forward price is below the spot quote of the XYZ Index on March 15. Does this immediately imply an arbitrage opportunity?

Answers

A) from March 15 to september there are sin mouths. ie t 2 6/12 1/2 We know, fa Soert withi So ? 125, torward price with 827%B) Arbitrage oppurtunity when the toward prin calculated by boert doesnt match with real market value of teward contract A

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