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

Multiple Choice

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

A) short sell 1 share of the stock and buy 103.70 units of the money market account
B) short sell 0.14 shares of the stock and buy 18.12 units of the money market account
C) buy 0.48 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.