When the Interest Rate Is 5% Per Annum with Continuous

Multiple Choice

When the interest rate is 5% per annum with continuous compounding,which of the following creates a principal protected note worth $1000?

A) A one-year zero-coupon bond plus a one-year call option worth about $59
B) A one-year zero-coupon bond plus a one-year call option worth about $49
C) A one-year zero-coupon bond plus a one-year call option worth about $39
D) A one-year zero-coupon bond plus a one-year call option worth about $29