What lowest six-month futures price that preclude arbitrage, Finance Basics

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What lowest six-month futures price that preclude arbitrage

Problem

The risk-free rate of interest for borrowing is 3.6% per annum with continuous compounding, and the corresponding risk-free rate for lending is 1% per annum lower. The dividend yield is 1.8% per annum. The current value of a stock index is 1,312. There are no other transactions costs involved in arbitrage. What is the lowest six-month futures price that will preclude arbitrage?

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Finance Basics: What lowest six-month futures price that preclude arbitrage

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