To Derive a One-Period Binomial Option Pricing Model for a Call

Multiple Choice

To derive a one-period binomial option pricing model for a call option, we begin by constructing a portfolio consisting of ________.

A) a short position in a certain amount of the asset, and a short call position in the underlying asset.
B) a long position in a certain amount of the asset, and a long call position in the underlying asset.
C) a short position in a certain amount of the asset, and a long call position in the underlying asset.
D) a long position in a certain amount of the asset, and a short call position in the underlying asset.