You have the following market data.
Spot price of the Japanese Yen is $0.009185.
Underlying asset for the Japanese Yen futures contract is 12,500,000 Yen.
3-month Japanese LIBOR rate is 2.14% per year, and the 3-month U.S. LIBOR rate is 2.76% per year. Both rates are continuously compounded.
Japanese Yen futures contract that expires in 3 months has a futures price of $0.009030.
What is the general arbitrage strategy?
A. Take a short position in the futures contract, borrow yen at the Japanese risk-free rate, sell short yen in the spot market, and invest the sales proceeds at the U.S. risk-free rate.
B. Take a long position in the futures contract, borrow yen at the Japanese risk-free rate, sell yen in the spot market, and invest the sales proceeds at the U.S. risk-free rate.
C. Take a long position in the futures contract, buy yen in the spot market, borrow at the U.S. risk-free rate to finance the purchase, and invest yen at the Japanese risk-free rate.
D. Take a short position in the futures contract, buy yen in the spot market, borrow at the U.S. risk-free rate to finance the purchase, and invest yen at the Japanese risk-free rate.
E. No arbitrage opportunity currently exists.