Consider a one-year European call option on a stock, current price is $29, strike price $35, and the volatility is 80% per annum. The risk-free rate is 2.5% per annum, continuously compounded. Suppose an investor has a short position of 10,000 call options. What should she do to delta-hedge her position?

a.

Short 4,222 shares of the underlying stock

b.

Long 5,778 shares of the underlying stock

c.

Long 4,222 shares of the underlying stock

d.

Short 5,778 shares of the underlying stock