The ask price for a share of ABC company is 100.50 and the bid price is 100. Suppose an investor can borrow at an annual effective rate of 3.05% and lend (i.e., save) at an annual effective rate of 3%. Assume there are no transaction costs and no dividends. Determine which of the following strategies does not create an arbitrage opportunity.

(A) Short sell one share, and enter into a long one-year forward contract on one share with a forward price of 102.50.

(B) Short sell one share, and enter into a long one-year forward contract on one share with a forward price of 102.75.

(C) Short sell one share, and enter into a long one-year forward contract on one share with a forward price of 103.00.

(D) Purchase one share with borrowed money, and enter into a short one-year forward contract on one share with a forward price of 103.60.

(E) Purchase one share with borrowed money, and enter into a short one-year forward contract on one share with a forward price of 103.75.