The current spot price of gold is $100 per ounce. The riskless interest rate is 1% per month. For simplicity, assume there are no storage/security costs of gold.

a) If you need to sell the gold in 6 months' time, which position (long or short) will you take in the futures market to hedge the price risk of the gold?

b) What is the arbitrage-free futures price for the delivery of gold in 6 months' time?

c) If you see a 6-month futures price of gold quoted at $110 per ounce, explain how you would capture an arbitrage profit. Show your work in details by clearly outlining the actions, initial cash flow and cash flow at maturity (T).