Consider single-stock futures contract

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Consider a single-stock futures contract on Exxon-Mobil stock. Consider the following scenario: Annualized, continuously compounded risk-free interest rate for 3-month period: r = 3.79%. Annualized, continuously compounded risk-free interest rate for 5-month period: r = 5.31%. Current spot price of Exxon Mobil stock: $158 per share. Dividend per share of $0.69 in 3 months. Contract expiration: T = 5 months. Futures price on Exxon Mobil single-stock futures: $150 per share. An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today.

Reference no: EM131552711

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