Consider a one-yea uropean call option on a stock, current stock price is $106, strike price $100, and the latility is 60% per annum. The risk-free rate is 1.5% per annum. Suppose an investonas a short position on 10,000 call options. What should the investor do to delt edge her position? O a. Long 6,635 shares of stock O b. Long 4,221 shares of stock Oc Short 6,635 shares of stock O d. Short 4,221 shares of stock