oronto Skaters' stock is now worth $100. In one month it can either be $80.00 or $120.

oronto Skaters' stock is now worth $100.00. In one month it can either be $80.00 or $120.00. Given that the monthly risk-free rate is 2%, how many calls does the investor need to sell to hedge a long position in ABC stock? What is the corresponding value of the call? (assume strike price = $100.00)

Question 10 options:

a) 0.5; $ 43.14

b) 1; $ 21.57

c) 2; $10.78

d) 2; $43.14