If the Call option's exercise price is $110. The current stock price is $100. When the market is good, the stock's price after 1 year is $130. When the market is bad, the stock's price is $90. The current interest rate is 10%. Assuming that the call's current price is $7.5, the following table represents the strategy of constructing an arbitrage portfolio.

In Cell (X3), what is the appropriate strategy in the borrowing/lending market?

Question 27 options:

	A. Borrow $77.50 at 10%
	B. Lend $77.50 at 10%
	C. Borrow $85.00 at 10%
	D. Lend $85.00 at 10%
	E. None of the above