Consider the following prices in the international money markets: Spot rate: USD1.13/GBP One-year Forward rate: USD1.15/GBP Interest Rate (UK): 3% Interest Rate (US): 5% Assuming no transaction costs, which of the following statements is true? a. An arbitrage can be obtained by borrowing in the currency that is expressing the other currency. O b. An arbitrage can be obtained by investing in the currency that is expressing the other currency. O c. An arbitrage can be obtained by borrowing in the currency that is being expressed by the other currency. O d. An arbitrage can be obtained by investing in the currency that is being expressed by the other currency. O e. More than one of these options is correct. How large should transaction costs be to erode the arbitrage opportunity? O a. 0.084705% O b. 0.008471% O c. 0.017401% O d. 0.017701% None of the options in this question are correct