The S&R index spot price is 1100 and the continuously compounded risk-free rate is 5%. You observe a 9-month forward price of XXXXXXXXXX. a. What dividend yield is implied by this forward price? b....

The S&R index spot price is 1100 and the continuously compounded risk-free rate is 5%. You observe a 9-month forward price of 1129.257.

a. What dividend yield is implied by this forward price?

b. Suppose you believe the dividend yield over the next 9 months will be only 0.5%. What arbitrage would you undertake?

c. Suppose you believe the dividend yield will be 3% over the next 9 months. What arbitrage would you undertake?