Фьючерсы (расчет)

расчет фьючерсов и опционов 

4. Assume that the risk-free interest rate is 3% p.a. with continuous compounding and that the dividend yield (dividends are evenly distributed throughout the year) on a particular stock index is 2% p.a. The stock index is at 1100 and the futures price for a contract deliverable in 3 months is at 980.

a. What is the fair value of the futures price?

b. Does an arbitrage opportunity exist? (you may borrow and lend freely at the risk free rate; you may also borrow shares/index at no cost).

c. If there is an arbitrage opportunity, how do you exploit it?