Question: Consider a binomial world in which the current stock price of $80 can either go up by 10 percent or down by 8 percent (i.e.

Consider a binomial world in which the current stock price of $80 can either go up by 10 percent or down by 8 percent (i.e. u is 1.1 and d is 0.92) in one year. The continuous risk-free rate is 4 percent. Assume a one-period world and a call with an exercise price of 80. How many shares would be needed to fully hedge a short position in 100 calls? Select one: a. 55.56 b. 44.45 c. 33.34 d. 66.67

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