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Question 6.4: Suppose that the risk-free rate is 8%. However, as a small i...

Suppose that the risk-free rate is 8%. However, as a small investor, you can invest money at 7% only and borrow at 10%. Does either of the strategies in the proof of Proposition 6.2 give an arbitrage profit if F(0, 1) = 89 and S(0) = 83 dollars, and a $2 dividend is paid in the middle of the year, that is, at time 1/2?

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