An Italian currency dealer has good credit and can borrow 800,000 or $1,000,000 for one year. The one-year interest rate in the U.S. is i$ = 2% and in the euro zone the one-year interest rate is i = 6%. The spot exchange rate is $1.25 = 1.00 and the one-year forward exchange rate is $1.30 = 1.00. Show how to realize a certain USD-denominated profit via covered interest arbitrage. Select one: a. No arbitrage profit is possible. b. Borrow $1,000,000 at 2%. Trade $1,000,000 for 800,000; invest at i = 6%; translate proceeds back to $ at forward rate of $1.30 = 1.00. Profit is $82,400. c. Borrow 800,000 at i = 6%; translate to dollars at the spot, invest in the U.S. at i$ = 2% for one year; translate $1,020,000 back into euro at the forward rate of $1.30 = 1.00. Net profit is 82,400. d. Borrow $1,000,000 at 2%. Trade $1,000,000 for 800,000; invest at i = 6%; translate proceeds back to $ at forward rate of $1.30 = 1.00. Profit is 82,400.