A three-month futures contract on an equity index is

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A three-month futures contract on an equity index is currently priced at USD 1,000. The underlying index stocks are valued at USD 990 and pay dividends at a continuously compounded rate of 2%. The current continuously compounded risk-free rate is 4%. The potential arbitrage profit per contract, given this set of data, is closest to

A. USD 10.00

B. USD 7.50

C. USD 5.00

D. USD 1.50

Reference no: EM13568779

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