Suppose that you purchase 1 share of XYZ stock $2,600 at the beginning of the year and that it pays $50 in dividends during the year. At the same time, you sell a futures contract short for the 1 share XYZ stock at a price of $2,700 with maturity 1 year. Suppose further that the risk free rate is 2% and the dividend yield is 1.92%.
Is there an arbitrage opportunity, and if so what is the arbitrage profit?
a. No arbitrage opportunity
b. Yes, arbitrage profit is $97.48
c. Yes, arbitrage profit is $150.00
d. Yes, arbitrage profit is $20.82
