To Derive a One-Period Binomial Option Pricing Model for a Call

question 2

Multiple Choice

To derive a one-period binomial option pricing model for a call option, we begin by constructing a portfolio consisting of ________.

• A) a short position in a certain amount of the asset, and a short call position in the underlying asset.
• B) a long position in a certain amount of the asset, and a long call position in the underlying asset.
• C) a short position in a certain amount of the asset, and a long call position in the underlying asset.
• D) a long position in a certain amount of the asset, and a short call position in the underlying asset.

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