Consider a single-stock forward contract on Exxon-Mobil stock. Suppose that the contract expires before Exxon Mobil’s next cash dividend. Consider the following scenario:
Risk-free interest rate: r = 3.24% per year, continuously compounded.
Current spot price of Exxon Mobil stock: $107.88 per share.
Contract expiration: T = 3 months.
Futures price on Exxon Mobil single-stock futures: $100 per share.
An arbitrage opportunity exists. What is the net profit per share when the futures contract expires? Use a strategy that has zero net cash flows today.