Problem 1. When the interest rate is 6% per annum with continuous compounding, which of the following creates a principal protected note worth $1000? A. A one-year zero-coupon bond plus a one-year call option worth about $58 B. A one-year zero-coupon bond plus a one-year call option worth about $39 C. A one-year zero-coupon bond plus a one-year call option worth about $29 D. A one-year zero-coupon bond plus a one-year call option worth about $95