17.Consider a binary (digital) option on a stock currently trading at $100. The option pays a $1 if the stock price goes above $100 in three months. The annualized standard deviation of the stock is 20%, and the risk-free rate is 0%. Suppose you sold a 100 of these binary options. How many shares of the underlying stock you need to long to achieve a delta-neutral position? Hint: Assume that the stock price evolves with respect to a geometric Brownian motion(GBM) under risk-neutral valuation, i.e. the drift is equal to the risk-free rate. (a)4 (b)8 (c)32 (d)48