Consider a principle-protected note involving a $1000 principal-value zero-coupon bond with an implied continuously-compounded interest rate of 5%. One component of the position is a call option with a strike price of $40, which was acquired when the stock was selling at $38 per share. If at expiration the stock is selling for $37, what is the gain from this position in dollars?

a.

$49

b.

$300

c.

$50

d.

$0

e.

$251