Assume that the gama index spot price is at 12,000, the risk free rate is 3% and the continuous divi
Assume that the gama index spot price is at 12,000, the risk free rate is 3% and the continuous dividend yield on the index is 0% suppose you observe a 18-month forward price of 14,000
a) what arbitrage would you take?
b)what is the profit on your arbitrage strategy?