To Create the Arbitrage-Free Synthetic Call After One Period (In

Multiple Choice

To create the arbitrage-free synthetic call after one period (in the up state) you need to:

A) buy 0.8585 shares of the stock and short sell 85.5777 units of the money market account
B) buy 0.4827 shares of the stock and short sell 42.2642 units of the money market account
C) buy 0.8585 shares of the stock and short sell 42.2642 units of the money market account
D) buy 0.9343 shares of the stock and short sell 93.2677 units of the money market account
E) None of these answers are correct.