A stock index is valued at $800 and pays a continuous dividend at the rate of 3% per year. The 6-month futures contract on that index is trading at $758. The continuously compounded risk free rate is 2.5% per year. There are no transaction costs or taxes. Is the futures contract priced so that there is an arbitrage opportunity? If yes, which of the following numbers comes closest to the arbitrage profit you could realize by taking a position in one futures contract?
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