In a One-Period Binomial Model,assume That the Current Stock Price

Multiple Choice

In a one-period binomial model,assume that the current stock price is $100,and that it will rise to $110 or fall to $90 after one month.If the risk-free rate is 0.1668% per month in simple terms,which of the following choices best describes the replicating portfolio for one hundred 99-strike one-month call options?

A) Long 50 shares of stock and long 50 units of $1 bonds.
B) Long 55 shares of stock and long 49 units of $1 bonds.
C) Long 55 shares of stock and short 49 units of $1 bonds.
D) Long 55 shares of stock and short 50 units of $1 bonds.