question 15 is based on the info below! please read all and show work! thanks

15. If the call is underpriced in period 0 an arbitrage could be created by a. borrowing at 5% (by buying calls and shorting stock) and lending at greater than 5% b. borrowing at 5% (by writing calls and buying stock) and lending at greater than 5% c. borrowing at less than 5% (by buying calls and shorting stock) and lending at 5% e. none of the above for 5% (by writing calls and buying stock) and lending at 5% Answer questions Answer questions #10 - \#15 based on the following information. We have a two-state, two-period world (i.e. there are time periods t=0,1,2 ). The current stock price is 100 and the risk-free rate each period is 5%. Each period the stock price can either go up by 10% or down by 10%. A European call option on this stock with an exercise price of 90 expires at the end of the second period