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    Derivatives and Risk Management Study Set 2
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    Exam 9: Futures Arbitrage Strategies
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    If a Stock Index Futures Is at 455 and the Pricing
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If a Stock Index Futures Is at 455 and the Pricing

Question 11

Question 11

True/False

If a stock index futures is at 455 and the pricing model says it should be at 458,an arbitrageur should buy the futures and sell short the stock.

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