Question: Consider a principle protected note involving a 51000 principal value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position

Consider a principle protected note involving a 51000 principal value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position is a call option with a strike price of $40, which was acquired when the stock was selling at $38 per share. If at expiration the stock is selling for $37. what is the gain from this position in dollars? O a. 50 O b. $300 Oc. $251 d. 549 De 550

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