A three-month forward contract on a stock index is trading at $995. The current index level is $980. Assume a continuously compounded interest rate of 5%. Additionally, assume that the stock index does not pay any dividends. Which one of the following statements reflects a potential arbitrage strategy:

I. Long the forward contract, short the stock index, and lend at the risk-free rate II. Short the stock index and lend at the risk-free rate, while entering in a forward contract agreement to purchase the asset in three months for $995. (a) I alone (b) II alone (c) I and II (d) None of the above The potential arbitrage profit in the previous question is: (a) $0.000 (b) $2.512 (c) $2.673 (d) $2.723