The spot exchange rate for the British pound is $1.2576. The U.S. interest rate is 0.25 percent, and the British interest rate is 0.50 percent. A futures contract on the exchange rate for the British pound expires in 110 days. (a) Find the appropriate futures price. [3M] (b) Find the futures price under the assumption of continuous compounding. [3M] (c) Suppose the actual futures price is $1.3250. Is the future contract mispriced? If yes, how could an arbitrageur take advantage of the mispricing? Use the price obtained from (a).