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The two-year risk-free rate in the Country ABC and Country DEF is 8% and 5% per annum, continuously compounded, respectively. The current DEF currency to

The two-year risk-free rate in the Country ABC and Country DEF is 8% and 5% per annum, continuously compounded, respectively. The current DEF currency to the ABC currency exchange rate is that one unit of ABC currency costs 0.75 units of DEF currency. If the observed two-year forward price of one unit of the ABC is 0.850 units of the DEF, what is your strategy to make an arbitrage profit? Select one: a. Borrow ABC, buy DEF and enter a short forward contract on DEF. b. Borrow ABC, buy DEF, and enter a short forward contract on ABC. c. Borrow DEF, buy ABC, and enter a short forward contract on DEF. X d. Borrow DEF, buy ABC, and enter a short forward contract on ABC

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