The Following Information Is Given About Options on the Stock $\sigma$

Multiple Choice

The following information is given about options on the stock of a certain company.
S₀ = 23 X = 20
r_c = 0.09 T = 0.5
$\sigma$ ² = 0.15
No dividends are expected.
Use this information to answer questions 1 through 8.
-Suppose you feel that the call is overpriced.What strategy should you use to exploit the apparent mis-valuation? (Due to differences in rounding your calculations may be slightly different."none of the above" should be selected only if your answer is different by more than 10 shares. )

A) buy 791 shares,sell 1,000 calls
B) buy 705 shares,sell 1,000 calls
C) sell short 791 shares,buy 1,000 calls
D) sell short 705 shares,buy 1,000 calls
E) none of the above