Question: When the interest rate is 4% per annum with continuous compounding, which of the following creates a $1000 principal protected note (with the maximum potential

When the interest rate is 4% per annum with continuous compounding, which of the following creates a $1000 principal protected note (with the maximum potential payoff while protecting the principal as described in the text)?

	a.	A one-year zero coupon bond plus a one-year call option worth about $59
	b.	A one-year zero coupon bond plus a one-year call option worth about $49
	c.	a one-year zero coupon bond plus a one-year call option worth about $29
	d.	A one-year zero coupon bond plus a one-year call option worth about $39

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