In a binomial model, the delta of a call on the first step is found to be 0.71. The delta in the second step is 0.80 in the up-state and 0 in the down-state. If the position of the investor is comprised of one short call contract and a long position in shares, which of the statement is TRUE if the investor wants to hedge dynamically? [4 marks] Select one:

a. The investor must buy one call contract on 100 shares of the underlying in the beginning.

b. The investor must buy 80 shares in the beginning.

c. The investor does not need to hold any shares in the down state in the second step.

d. The investor must buy 99 more shares in the up state in the second step.

e. The investor must buy 100 shares in the beginning.