When the interest rate is 4% per annum with continuous compounding, which of the following creates a $1,000 principal protected note? A two-year zero-coupon bond plus a two-year call option worth about $116 A two-year zero-coupon bond plus a two-year call option worth about $77 O A two-year zero-coupon bond plus a two-year call option worth about $92 A two-year zero-coupon bond plus a two-year call option worth about $133