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There is a stock index futures contract maturing in one year. The risk-free rate of...

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Accounting

There is a stock index futures contract maturing in one year. The risk-free rate of interest for borrowing is 4.4% per annum, and the corresponding risk-free rate for lending is 0.9% per annum lower. Assume that you can reinvest all dividends received up to futures maturity and thereby receive 1.3 index points at futures maturity. The current level of the stock index is 2,777 index points. The bid-ask spread involved in trading the index basket of stocks is 7 index points, and there are an additional 6 index points stock borrowing fees payable at maturity in case there is short-selling involved. Finally, round-trip commissions in the futures market are 10 index points and payable at the start. There are no other transaction costs involved in arbitrage. What is the highest futures price that will not allow arbitrage? Use one decimal place for your answer. The last expert said this question needs more information, but this is what was asked by my professor.

The answer is 2,912, how do you solve this?

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